nablatensor-credit

com.nablatensor

com.nablatensor:nablatensor-credit is a Maven Central artifact (jar) for the JVM. It has 3 published versions. Browse versions below for dependency snippets and security details.

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Add to your project0.1.0

<dependency>
    <groupId>com.nablatensor</groupId>
    <artifactId>nablatensor-credit</artifactId>
    <version>0.1.0</version>
</dependency>

Version Details — 0.1.0

Packaging
jar
Direct Deps
0
Total Deps
0
Published
Unknown
License
Unknown

Portfolio credit: a one-factor Gaussian copula, the Andersen-Sidenius-Basu loss recursion with Gauss-Hermite integration, CDO tranche pricing, and a recorded copula Monte-Carlo whose adjoint returns tranche correlation delta and per-name CS01.

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