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



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