Name of QuantLet: SFEcompCorr

Published in: Statistics of Financial Markets

Description: Computes the implied compound correlation smile from the one factor Gaussian model using data from 20071022, iTraxx Series 8 with 5 years maturity.

Keywords: CDO, Credit Risk, Equity tranche, Expected loss, Gauss Kronrod, Gaussian model, bivariate, collaterized debt obligation, default, integration, multivariate normal, normal, numerical integration, gaussian, asset, financial, plot, graphical representation

See also: BaseCorrGaussModelCDO, CompCorrGaussModelCDO, ETL, SFEETLGaussTr1, SFEbaseCorr, SFEdefault, SFEmyfun

Author: Awdesch Melzer

Submitted: Wed, April 23 2014 by Awdesch Melzer

Code warning: 
- In fminbnd(function(x) CompCorrGaussModelCDO(x, recoveryR, defProb, :
- No. of max. iterations exceeded; no convergence reached.