├── .arcconfig ├── .gitignore ├── README.markdown └── src ├── CDS.py ├── Calibration.py ├── CalibrationMaster.py ├── Copula.py ├── CopulaSimulation.py ├── CreditDerivativeCSVReader.py ├── DiscountCurve.py ├── GeneratePlots.py ├── Makefile ├── MarketData.py ├── MonteCarloProcessSim.py ├── Payoff.py ├── ThesisBasicCDSPlots.py └── UnitTests.py /.arcconfig: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ajtulloch/IntensityCreditModels/HEAD/.arcconfig -------------------------------------------------------------------------------- /.gitignore: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ajtulloch/IntensityCreditModels/HEAD/.gitignore -------------------------------------------------------------------------------- /README.markdown: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ajtulloch/IntensityCreditModels/HEAD/README.markdown -------------------------------------------------------------------------------- /src/CDS.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ajtulloch/IntensityCreditModels/HEAD/src/CDS.py -------------------------------------------------------------------------------- /src/Calibration.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ajtulloch/IntensityCreditModels/HEAD/src/Calibration.py -------------------------------------------------------------------------------- /src/CalibrationMaster.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ajtulloch/IntensityCreditModels/HEAD/src/CalibrationMaster.py -------------------------------------------------------------------------------- /src/Copula.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ajtulloch/IntensityCreditModels/HEAD/src/Copula.py -------------------------------------------------------------------------------- /src/CopulaSimulation.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ajtulloch/IntensityCreditModels/HEAD/src/CopulaSimulation.py -------------------------------------------------------------------------------- /src/CreditDerivativeCSVReader.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ajtulloch/IntensityCreditModels/HEAD/src/CreditDerivativeCSVReader.py -------------------------------------------------------------------------------- /src/DiscountCurve.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ajtulloch/IntensityCreditModels/HEAD/src/DiscountCurve.py -------------------------------------------------------------------------------- /src/GeneratePlots.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ajtulloch/IntensityCreditModels/HEAD/src/GeneratePlots.py -------------------------------------------------------------------------------- /src/Makefile: -------------------------------------------------------------------------------- 1 | test: 2 | python UnitTests.py -------------------------------------------------------------------------------- /src/MarketData.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ajtulloch/IntensityCreditModels/HEAD/src/MarketData.py -------------------------------------------------------------------------------- /src/MonteCarloProcessSim.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ajtulloch/IntensityCreditModels/HEAD/src/MonteCarloProcessSim.py -------------------------------------------------------------------------------- /src/Payoff.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ajtulloch/IntensityCreditModels/HEAD/src/Payoff.py -------------------------------------------------------------------------------- /src/ThesisBasicCDSPlots.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ajtulloch/IntensityCreditModels/HEAD/src/ThesisBasicCDSPlots.py -------------------------------------------------------------------------------- /src/UnitTests.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ajtulloch/IntensityCreditModels/HEAD/src/UnitTests.py --------------------------------------------------------------------------------