Description Usage Arguments Value Examples
g2
creates a g2++ model object.
1 2 |
curve |
ZCCurve. Zero coupon curve as basis for projection. |
horizon |
Numeric. Projection horizon. Default to 50. |
nsimul |
Numeric. Number of simulation. Default to 1000. |
a |
Numeric. G2++ parameter. Optional. |
b |
Numeric. G2++ parameter. Optional. |
sigma |
Numeric. G2++ parameter. Optional. |
eta |
Numeric. G2++ parameter. Optional. |
rho |
Numeric. G2++ parameter. Optional. |
The model as a class
1 2 3 4 5 6 7 8 9 10 11 12 | 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)
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