Feature request: Granularity Adjustment

[1rdsk1]

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.

[open-risk]

Adding granularity adjustement (single name concentration) seems to fit with the scope of this library. Other types of concentration risk type corrections to the the ASRF model (sector, geographic, product concentration etc) are not easy to reduce to a small self-contained library (they typically need some calibration to a more elaborate portfolio model).

In terms of timing of implementing this, will probably first expand the conceptual / mathematical documentation of granuality adjustment concepts at the Open Risk Manual. Of course PR's are also welcome ;-)