Hi,
I have made some progress speeding up my code. This is what I have at the
moment:
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])}))}))
I tried setting up a function as so:
f1 <- function(k,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])}
Then run outer and sum as so:
sum(outer(1:m,1:m,foo))
Unfortunately outer doesn't seem to like the equicorr or matrix commands
like my problem above. Is there any way around this or am I stuck with the
double sapply?
Thanks again for your help!
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