indexScen: 5 Indices for 10 Scenarios over 360 Months
In vamc: A Monte Carlo Valuation Framework for Variable Annuities
Description
A dataset containing a 3D array, number of scenarios (10) by
number of indices (5) by number of time steps (360), of Black-Scholes return
factors for each index in each of time step and each of scenario.
Usage
1
Format
A 3D array with dimensions 10x360x5:
- scenario
scenario number
- month
month since valuation date
- index number
monthly return for a particular index in one scenario
one month
...
vamc documentation built on Feb. 28, 2020, 5:08 p.m.
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Description
A dataset containing a 3D array, number of scenarios (10) by number of indices (5) by number of time steps (360), of Black-Scholes return factors for each index in each of time step and each of scenario.
Usage
1 |
Format
A 3D array with dimensions 10x360x5:
- scenario
scenario number
- month
month since valuation date
- index number
monthly return for a particular index in one scenario one month
...
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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