esgdiscountfactor: Stochastic discount factors or discounted values
In ESGtoolkit: Toolkit for Monte Carlo Simulations

Description Usage Arguments Details Author(s) See Also Examples

View source: R/tests.R

This function provides calculation of stochastic discount factors or discounted values

1	esgdiscountfactor(r, X)

`r`	the short rate, a `numeric` (constant rate) or a time series object
`X`	the asset's price, a `numeric` (constant payoff or asset price) or a time series object

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

esgmcprices, esgmccv

kappa <- 1.5
V0 <- theta <- 0.04
sigma_v <- 0.2
theta1 <- kappa*theta
theta2 <- kappa
theta3 <- sigma_v

# OU
r <- simdiff(n = 10, horizon = 5, 
               frequency = "quart",  
               model = "OU", 
               x0 = V0, theta1 = theta1, theta2 = theta2, theta3 = theta3)

# Stochastic discount factors
esgdiscountfactor(r, 1)