rAllRisksFactors: rAllRisksFactors

Description Usage Arguments Examples

Description

Direct generation for all risk factors. Object creation is managed internally.

Usage

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  rAllRisksFactors(horizon, nScenarios, ZC, vol, k,
    volStock, stock0, rho, volRealEstate, realEstate0, eta,
    liquiditySpread0, defaultSpread0, volDefault, alpha,
    beta)

Arguments

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

Examples

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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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