setZCRates | R Documentation |
Set the ZC rates in a Scenarios object. Internaly, this method uses the ZCExtraction() function.
ZC |
The Zero Coupon rates |
horizon |
Horizon for the calculation (in years) |
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)
data(ZC)
scenarios1 <- setZCRates(scenarios1, ZC, horizon=5)
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