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firmam
2012 Jul 18
4
The best solver for non-smooth functions?
...require(Rsolnp2)
N <- 3
n <- 100000
r <- 0.0025
ead <- rep(1/3,3)
rc <- c("AAA", "AA", "A", "BBB", "BB", "B", "CCC", "D")
lgd <- 0.99
rating <- c("BB", "BB", "BBB")
firmnames <- c("firm 1", "firm 2", "firm 3")
alpha <- 0.99
# One year empirical migration matrix from Standard & Poor's website
rc <- c("AAA", "AA", "A", "BBB", "BB", "B", "CCC", "D&q...