rDefaultSpread: rDefaultSpread

Description Usage Arguments Examples

View source: R/Interface.R

Description

Direct default spread generation. Object creation is managed internally.

Usage

1
2
  rDefaultSpread(horizon, nScenarios, defaultSpread0,
    volDefault, alpha, beta)

Arguments

horizon

Horizon of projection

nScenarios

Number of scenarios

defaultSpread0

Initial value for default spread

volDefault

Volatility

alpha

alpha for LMN model

beta

beta Volatility for LMN model

Examples

1
rDefaultSpread(horizon=5, nScenarios=8, defaultSpread0=.01, volDefault=.2, alpha=.1, beta=1)

Example output

     [,1]       [,2]      [,3]      [,4]      [,5]      [,6]
[1,] 0.01 0.11289224 0.1871539 0.1869101 0.3193541 0.4687535
[2,] 0.01 0.11986613 0.2665025 0.4524322 0.4102948 0.4889466
[3,] 0.01 0.12767202 0.1572909 0.1838807 0.3112755 0.3353851
[4,] 0.01 0.09030605 0.2587273 0.2105317 0.3286630 0.2883986
[5,] 0.01 0.13767082 0.3432244 0.4137623 0.1870553 0.3270232
[6,] 0.01 0.09735959 0.1175528 0.2327171 0.2832922 0.2274292
[7,] 0.01 0.08901817 0.2267549 0.1588028 0.1941133 0.3816498
[8,] 0.01 0.11579444 0.2992584 0.3765028 0.3934786 0.5623348

ESG documentation built on Nov. 30, 2020, 1:06 a.m.