ParamsScenarios: ParamsScenarios class

Description Details

Description

This class is a container for all the risk related parameters. It is used as a parameter for the Scenarios class.

Details

horizon

Horizon for the projection (in years)

nScenarios

Number of scenarios

vol

Volatility for rates in vasicek model

k

k for rates in vasicek model

volStock

Volatility for UL in Black & Scholes model

volRealEstate

Volatility for real estate in Black & Scholes model

stock0

Stock initial value

realEstate0

Real estate initial value

volDefault

Volatility for LMN model

alpha

alpha for LMN model

beta

beta for LMN model

eta

eta for LMN model

liquiditySpread0

Initial liquidity for LMN model

defaultSpread0

Initial default spread for LMN model

rho

Correlation between stock and short rates


ESG documentation built on May 30, 2017, 12:34 a.m.