%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% PACKAGE: Structured Credit Risk Premia, (C) 2007, Andreas Eckner VERSION: 1.2 DATE: November 18, 2007 CONTACT: andreas@eckner.com REFERENCES: "Computational Techniques for basic Affine Models of Portfolio Credit Risk", Andreas Eckner, August 2007 "Risk Premia in Structured Credit Derivatives", Andreas Eckner, August 2007 LICENSE: GNU General Public License. This package comes WITHOUT ANY WARRANTY. %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% %%%%%%%%%%%%%%% % Installation % %%%%%%%%%%%%%%%% Step 1: Download the file "structured_risk_premia.zip" Step 2: Unpack the zip-file Step 3: Start MatLab Step 4: Add unzipped directory and all subdirectories to MatLab path environment. Under Windows, this can be done via the menu: FILE/SET PATH/ADD WITH SUBFOLDERS %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% % 1st Demo (1 minute) - Tranche Pricing and Tranche Spread Decomposition % %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% Type "demo" in the MatLab command prompt and and press %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% % 2nd Demo (2 minutes) - Low level functions: moment-generating function and characteristic function of basic AJD, % % density of integrated basic AJD, modified ASB algorithm, % % distribution of the number of defaults in the portfolio % %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% Type "demo2" in the MatLab command prompt and and press %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% % 3rd Demo (1-10 minutes) - Parameter optimization, loading and saving of parameters % %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% Type "demo3" in the MatLab command prompt and and press