rAllRisksFactors | R Documentation |
Direct generation for all risk factors. Object creation is managed internally.
rAllRisksFactors(horizon, nScenarios, ZC, vol, k,
volStock, stock0, rho, volRealEstate, realEstate0, eta,
liquiditySpread0, defaultSpread0, volDefault, alpha,
beta)
horizon |
Horizon of projection |
nScenarios |
Number of scenarios |
ZC |
ZC rate input |
vol |
Volatility for short rates |
k |
k for rates in vasicek model |
volStock |
Volatility for stock |
stock0 |
Initial value for stock |
rho |
Correlation between stock and short rates |
volRealEstate |
Volatility for real estate |
realEstate0 |
Initial value for real estate |
eta |
eta Volatility for LMN model |
liquiditySpread0 |
Initial value for liquidity spread |
defaultSpread0 |
Initial value for default spread |
volDefault |
Volatilty for default spread |
alpha |
alpha for LMN model |
beta |
beta Volatility for LMN model |
data(ZC)
rAllRisksFactors(horizon=5, nScenarios=10, ZC, vol=.1, k=2, volStock=.2, stock0=100, rho=.5,
volRealEstate=.15, realEstate0=50, eta=.05, liquiditySpread0=.01, defaultSpread0=.01,
volDefault=.2, alpha=.1, beta=1)
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