

On Wed, Aug 8, 2012 at 10:37 AM, alijk1989 [via R]
<ml-node+s789695n4639622h98@n4.nabble.com> wrote:
>
>
> Hi Michael,
>
> Thanks for your response. Here is a simple example of what I am trying to
> do:
>
> w=rep(0.02,10)
> Q=rep(0.02,10)
> rho=matrix(0.5,nrow=10,ncol=10)
> m=10
> LGD=0.45
>
> M1=sum(sapply(1:m,
> function(k){sum(sapply(1:m,function(j){w[k]*w[j]*LGD^2*(pmnorm(c(qnorm(Q[k]),qnorm(Q[j])),c(0,0),equicorr(2,rho[k,j]))-Q[k]*Q[j])}))}))
>
> It uses the mnormt and QRM packages.
>
> I am trying to reproduce the following sum:
>
> \sum\limits_{j=1}^M \sum\limits_{k=1}^M w_j w_k
> LGD^2[N_2(N^{-1}[Q(j)],N^{-1}[Q(k)],\rho_{jk})-Q(j)Q(k)]

Hi Alijk,

The problem ultimately comes from the fact that equicorr() is not
nicely vectorized so you'll need to home-brew something to replace it,
but that's not hard. However, I don't think that pmnorm is vectorized
in the varcov argument: we can probably work out the double sapply()
loop if you can assume rho is constant, otherwise I think you're
stuck.

Michael

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