rDefaultSpread: rDefaultSpread
In ESG: A Package for Asset Projection
rDefaultSpread R Documentation
rDefaultSpread
Description
Direct default spread generation. Object creation is
managed internally.
Usage
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
rDefaultSpread(horizon=5, nScenarios=8, defaultSpread0=.01, volDefault=.2, alpha=.1, beta=1)
ESG documentation built on Aug. 29, 2023, 5:08 p.m.
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| rDefaultSpread | R Documentation |
rDefaultSpread
Description
Direct default spread generation. Object creation is managed internally.
Usage
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
rDefaultSpread(horizon=5, nScenarios=8, defaultSpread0=.01, volDefault=.2, alpha=.1, beta=1)
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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