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

Description Usage Arguments Value Examples

project projects the rate model for the object G2.

1	project(.Object, Wx = "auto", Wy = "auto")

`.Object`	G2 object. The object whose model is to be projected.
`Wx`	Matrix. Matrix of dimension Number of simulations x Horizon representing the normal distribution for projection of the x component.
`Wy`	Matrix. Matrix of dimension Number of simulations x Horizon representing the normal distribution for projection of the y component. Correlation rho with Wx.

The updated object.

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)