setForwardRates: setForwardRates method

Description Arguments Examples

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

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scenarios1 <- new("Scenarios")
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 May 30, 2017, 12:34 a.m.