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Credit Migration Simulation - Set Default as final state #3

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ulf1 opened this issue Aug 9, 2017 · 0 comments
Open

Credit Migration Simulation - Set Default as final state #3

ulf1 opened this issue Aug 9, 2017 · 0 comments

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@ulf1
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ulf1 commented Aug 9, 2017

if 0 Recovery is assumed, then the transition matrix have to be manipulated to force D as final state (i.e. all states will converge in D at the end)

trans_mat[-1,:-1] = 0; 
trans_mat[-1,-1] = 1; 

incorporate it in the simulation function

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