computeConstant: Compute The Normalizing Constant for a log-Normal Random...
In sstModel: Swiss Solvency Test (SST) Standard Models
Description
Usage
Arguments
Value
Description
This private function allows to compute scaling constants
in the valuation formulas.
Usage
1
computeConstant(id, scale, cov.matrix)
Arguments
id
an integer value. The risk-factor ids involved in the valuation
formula.
scale
a numeric value. The scales corresponding to those
risk-factors.
cov.matrix
a numeric matrix. The covariance matrix of the
risk-factors.
Value
A numeric value, the scaling constant. This is equal to -0.5
times the variance of the linear combination of the risk-factors provided
in the parameters.
sstModel documentation built on May 2, 2019, 12:16 p.m.
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Description Usage Arguments Value
Description
This private function allows to compute scaling constants in the valuation formulas.
Usage
1 | computeConstant(id, scale, cov.matrix)
|
Arguments
id |
an integer value. The risk-factor ids involved in the valuation formula. |
scale |
a numeric value. The scales corresponding to those risk-factors. |
cov.matrix |
a numeric matrix. The covariance matrix of the risk-factors. |
Value
A numeric value, the scaling constant. This is equal to -0.5
times the variance of the linear combination of the risk-factors provided
in the parameters.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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