setRiskParamsScenariosdefSpr: setRiskParamsScenariosdefSpr method

Description Arguments

Description

Set risk parameters related to default spread in a Scenarios object (these parameters are contained in a [ParamsScenarios] sub-object)

Arguments

volDefault

Volatility for LMN model

defaultSpread0

Initial default spread for LMN model

alpha

alpha for LMN model

beta

beta Volatility for LMN model


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