setRiskParamsScenariosS: setRiskParamsScenariosS method
In ESG: A Package for Asset Projection
setRiskParamsScenariosS R Documentation
setRiskParamsScenariosS method
Description
Set risk parameters related to short rates in a Scenarios
object (these parameters are 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
stock0
UL initial value
rho
Correlation between stock and short rates
ESG documentation built on Aug. 29, 2023, 5:08 p.m.
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| setRiskParamsScenariosS | R Documentation |
setRiskParamsScenariosS method
Description
Set risk parameters related to short rates in a Scenarios
object (these parameters are 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 |
stock0 |
UL initial value |
rho |
Correlation between stock and short rates |
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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