setForwardRates: setForwardRates method

In ESG: A Package for Asset Projection

setForwardRates method

Description

Calculate and set the forward rates in a Scenarios object. Internaly, this method uses the ForwardExtraction() function.

Arguments

ZC	The Zero Coupon rates
horizon	Horizon for the calculation (in years)

Examples

scenarios1 <- new("Scenarios")
scenarios1 <- scenarios1 <- setRiskParamsScenarios(scenarios1, vol=.1, k=2,volStock=.2,
volRealEstate=.15, volDefault=.2, alpha=.1,beta=1, eta=.05,rho=.5, stock0=100,realEstate0=50,
liquiditySpread0=.01, defaultSpread0=.01)
data(ZC)
scenarios1 <- setForwardRates(scenarios1, ZC, horizon=5)

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