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PACKAGE:      Structured Credit Risk Premia, (C) 2007, Andreas Eckner
VERSION:      1.3
DATE:         November 18, 2007
LAST UPDATED: Octover 26, 2008
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.
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% Installation %
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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


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% 1st Demo (1 minute) - Tranche Pricing and Tranche Spread Decomposition %
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Type "demo" in the MatLab command prompt and and press <ENTER>


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% 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              %
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Type "demo2" in the MatLab command prompt and and press <ENTER>


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% 3rd Demo (1-10 minutes) - Parameter optimization, loading and saving of parameters %
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Type "demo3" in the MatLab command prompt and and press <ENTER>


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% 4th Demo (1 minute) - CDS spread decomposition %
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Type "demo4" in the MatLab command prompt and and press <ENTER>
