Ltranche
Contents
Syntax
Ltranche function applied to a Linear function:
ltranche(matrix,vector_param) |
short call; |
ltranche_name(matrix,vector_param) |
call with optional name. |
Parameters
matrix is a Matrix of Scenarios:
vector_param is a vector:
where
l = attachment point of a tranche, u = detachment point of a tranche,
.
Mathematical Definition
Ltranche function is a vector function with components:
, 
,
where
, are scenario benchmarks projected to tranche on scenario 
;
, are gains projected to tranche on scenario 
;
, are gains on scenario 
;
is an argument of Ltranche function.
Example
See also
Loss, Gain, Sum of Splines Operator