setRiskParamsScenarios: setRiskParamsScenarios method

Description Arguments Examples

Description

Set all the risk parameters of a Scenarios object (contained in a [ParamsScenarios] sub-object)

Arguments

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

Examples

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scenarios1 <- new("Scenarios")
scenarios1 <- setParamsBaseScenarios(scenarios1, horizon=5, nScenarios=10)
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)

ESG documentation built on May 30, 2017, 12:34 a.m.

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