rAssetDistribution: rAssetDistribution

In ESG: A Package for Asset Projection

rAssetDistribution

Description

Direct generation for all assets values. Object creation is managed internally.

Usage

  rAssetDistribution(type, t, T, vol, k, ZC,
    nScenarios = NULL, volStock = NULL, stock0 = NULL,
    rho = NULL, volRealEstate = NULL, realEstate0 = NULL,
    eta = NULL, liquiditySpread0 = NULL,
    defaultSpread0 = NULL, volDefault = NULL, alpha = NULL,
    beta = NULL, nCoupons = NULL, couponsRate = NULL,
    omega = NULL, s = NULL, Strike = NULL)

Arguments

type	Type of asset. Can be : Zero-Coupon, Bond, CBond, ConvBond, EuroCall_S, EuroPut_Stock, EuroCall_ZC, EuroPut_ZC or CDS.
t	Date of pricing (has to be an integer)
T	Date of maturity for the option
vol	Volatility for short rates
k	k for rates in vasicek model
ZC	ZC rate input
nScenarios	Number of scenarios
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
nCoupons	Number of coupons
couponsRate	Rate of coupons
omega	Recoverables in case of default
s	Date of maturity for the underlying
Strike	Strike for options

Examples

data(ZC)
rAssetDistribution(type="Zero-Coupon",t=2,T=3,vol=.1, k=2, ZC=ZC, nScenarios=100)
rAssetDistribution(type="Bond",t=3,T=35,nCoupons=20, couponsRate=0.3,vol=.1, k=2,
ZC=ZC, nScenarios=10)
rAssetDistribution(type="CBond",t=5,T=35,nCoupons=5, couponsRate=0.3, omega=5,vol=.1, k=2, ZC=ZC,
nScenarios=10,eta=.05, liquiditySpread0=.01, defaultSpread0=.01, volDefault=.2, alpha=.1, beta=1)
rAssetDistribution(type="EuroPut_Stock",5,25,Strike=98.5,vol=.1,k=2,ZC=ZC,volStock=.2,
stock0=100, rho=.5,nScenarios=10)
rAssetDistribution(type="EuroCall_ZC",4,4.5,s=5, Strike=.985,vol=.1, k=2, ZC=ZC,nScenarios=10)
rAssetDistribution(type="EuroPut_ZC",4,4.5,s=5, Strike=.9385,vol=.1, k=2, ZC=ZC,nScenarios=10)

ESG documentation built on Aug. 29, 2023, 5:08 p.m.