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Published 20 hours ago • verified publisher icon open-risk

Feature request: Granularity Adjustment

Open 1rdsk1 opened this issue 2 years ago • 1 comments

Hi, please could you add granularity adjustment to the vasicek code. This would greatly help in understanding how the GA operates and its impact on the loss distribution. At present I feel lost in the GA maths which I can follow but find sufficiently complex to block my understanding/intuition! The existing vasicek code is excellent as it is sufficiently easy to follow as to be intuitive and so I would hope for something similar.

1rdsk1 avatar Feb 28 '22 07:02 1rdsk1