setRiskParamsScenarios | R Documentation |
Set all the risk parameters of a Scenarios object
(contained in a [ParamsScenarios
]
sub-object)
vol |
Volatility for rates in vasicek model |
k |
k for rates in vasicek model |
volStock |
Volatility for UL in Black & Scholes model |
volRealEstate |
Volatility for real estate in Black & Scholes model |
volDefault |
Volatility for LMN model |
alpha |
alpha for LMN model |
beta |
beta Volatility for LMN model |
eta |
eta Volatility for LMN model |
rho |
Correlation between stock and short rates |
stock0 |
UL initial value |
realEstate0 |
Real estate initial value |
liquiditySpread0 |
Initial liquidity for LMN model |
defaultSpread0 |
Initial default spread for LMN model |
scenarios1 <- new("Scenarios")
scenarios1 <- setParamsBaseScenarios(scenarios1, horizon=5, nScenarios=10)
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)
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.