VSK-class: Vasicek model

In ArnaudBu/esg2: Esg Based on a G2++ Model

Description

An S4 class to represent a value modelled by a Vasicek projection model. In the context of this esg, this model is thought for inflation modelling.

Usage

## S4 method for signature 'VSK'
print(x)

## S4 method for signature 'VSK'
show(object)

Arguments

x	the VSK object to print
object	the VSK object to show

Methods (by generic)

• print: print method for VSK

• show: show method for VSK

Slots

q0

Numeric. Initial value of rate.

a

Numeric. Speed of reversion.

b

Numeric. Long-term mean for the model.

sigma

Numeric. Periodic volatility.

q

Matrix. Projection of the asset.

ArnaudBu/esg2 documentation built on Oct. 20, 2021, 10:01 a.m.