Description Usage Arguments Details Author(s) See Also Examples
This function provides calculation of stochastic discount factors or discounted values
1 | esgdiscountfactor(r, X)
|
r |
the short rate, a |
X |
the asset's price, a |
The function result is :
X_t exp(-\int_0^t r_s ds)
where X_t is an asset value at a given maturity t, and (r_s)_s is the risk-free rate.
Thierry Moudiki
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