rLiquiditySpread | R Documentation |
Direct liquidity spread generation. Object creation is managed internally.
rLiquiditySpread(horizon, nScenarios, eta,
liquiditySpread0)
horizon |
Horizon of projection |
nScenarios |
Number of scenarios |
eta |
eta Volatility for LMN model |
liquiditySpread0 |
Initial value for liquidity spread |
rLiquiditySpread(horizon=5, nScenarios=15, eta=.05, liquiditySpread0=.01)
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