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CQF Final Project
This project forked from pkouassi/cqf-final-project
CQF Final Project
#============================================================================== # CQF Final Project (Jan 2014 Cohort) # Bertrand Le Nezet # [email protected] # hp: (+65) 8298 6970 (Singapore - Asia timezone) #============================================================================== Welcome! You'll find the on this thumbdrive the sources code (+ data) for the 2 selected topics and a soft copy of the report. ./report ---> report in PDF format ./sources ---> source code for the 2 topics ./sources/creditbasket ---> folder for kth-to-default basket CDS pricing ./sources/interestrate-hjm ---> folder for the Interest Rate Derivatives topic (HJM) #============================================================================== How to launch the "kth-to-default basket CDS pricing" project #============================================================================== This program has been written using R (version 3.1.0, 64-bit) and Rstudio as IDE. In order to launch this program, please follow this procedure: 1. Copy the whole folder “creditbasket” to your local computer (e.g. C:\temp\creditbasket) 2. Open the file “creditbasket\src\master_program.R” (e.g. C:\temp\creditbasket\src\master_program.R) 3. Update the value of the variable current_dir to match your environment (e.g. current_dir = "C:/temp/creditbasket/src") 4. Launch R 5. type: source ("C:/temp/creditbasket/src/master_program.R") (replace the path to master_program.R to match your environment, and replace "\" to "/" in the path) 6. The program will start. #============================================================================== How to launch the "Interest Rate Derivatives (HJM)" project #============================================================================== This program has been written using R (version 3.1.0, 64-bit) and Rstudio as IDE. In order to launch this program, please follow this procedure: 1. Copy the whole folder “interestrate-hjm” to your local computer (e.g. C:\temp\interestrate-hjm) 2. Open the file “interestrate-hjm\src\master_program.R” (e.g. C:\temp\interestrate-hjm\src\master_program.R) 3. Update the value of the variable current_dir to match your environment (e.g. current_dir = "C:/temp/interestrate-hjm/src") 4. Launch R 5. type: source ("C:/temp/interestrate-hjm/src/master_program.R") (replace the path to master_program.R to match your environment, and replace "\" to "/" in the path) 6. The program will start. #============================================================================== END #==============================================================================
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