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

Description Usage Arguments Value Examples

bs creates a Black & Scholes model object.

1	bs(g2model, s0 = 1, vol = 0.2, div = 0.02, rho = -0.5, W = "auto")

`g2model`	G2. Trained and projected G2 model
`s0`	Numeric. Initial value of the asset. Default to 1.
`vol`	Numeric. Periodic volatility. Default to 0.2.
`div`	Numeric. Percentage of divividend each year. Default to 0.02.
`rho`	Numeric. Correlation with the rate model. Default to -0.5. Useless if W is given.
`W`	Matrix. Projection of the asset via a normal distribution. Optional.

The model as a class.

rates <- c(-0.00316,-0.00269,-0.00203,-0.00122,-0.00022,
0.00092,0.00215,0.00342,0.00465,0.00581,0.00684,0.00777,0.00861,
0.00933,0.00989,0.0103,0.01061,0.01092,0.01127,0.0117,0.01222,
0.01281,0.01345,0.01411,0.01478,0.01546,0.01613,0.01679,0.01743,
0.01806,0.01867,0.01926,0.01983,0.02038,0.02092,0.02143,0.02192,
0.02239,0.02285,0.02329,0.02371,0.02411,0.0245,0.02488,0.02524,
0.02558,0.02592,0.02624,0.02655,0.02685)
curve <-curvezc(rates, "continuous")
g2model <- g2(curve, a=0.773511777, b=0.082013014,
sigma=0.022284644, eta=0.010382461, rho=-0.701985206)
g2model <- project(g2model)
action <- bs(g2model, 1, 0.2, 0.02, -0.5)