rStock | R Documentation |
Direct stock generation. Object creation is managed internally.
rStock(horizon, nScenarios, ZC, vol, k, volStock, stock0,
rho)
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 |
stock0 |
Initial value for stock |
rho |
Correlation between stock and short rates |
data(ZC)
rStock(horizon=10, nScenarios=7, ZC=ZC, vol=.1, k=2, volStock=.2, stock0=100, rho=.5)
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