test_martingal: BS: Martingal test

Description Usage Arguments Examples

Description

test_martingal tests the martingality of the projections.

Usage

1
test_martingal(.Object)

Arguments

.Object

BS Object on which the test is to be applied.

Examples

 1
 2
 3
 4
 5
 6
 7
 8
 9
10
11
12
13
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)
test_martingal(action)

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