determScenario: Generate a deterministic scenario

In nathanesau/StocVal: Values embedded options in DB pension plan.

Description

Generates deterministic scenario for variables interest rate term, inflation rate, credit spread, total yield, equity index, and bond index

Usage

determScenario(termStruct.out, params = NS_params)

Arguments

termStruct.out	output of cubic_spline()
params	Neilson and Siegel parameters for calculating the curve extension

Details

output is similar to stochastic scenarios except that only one scenario is returned that the scenario is not random. Note that time goes from 0 to 99 for this scenario.

Value

A list containing interest rates for various terms, inflation rate, credit rate, total yield, equity index and bond index

Examples

termStruct.out <- cubic_spline(termStruct)
 determScenario.out <- determScenario(termStruct.out)

nathanesau/StocVal documentation built on May 23, 2019, 12:18 p.m.