esga: ESGA

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

Description

Holistic ESG for short rate, credit spread, equity return and inflation with correlation

Usage

esga(esgin, credit_spread, volterm.equity, inflation_mean, volterm.inflation,
  cholesky.out, termStruct.extension)

Arguments

esgin	ESG scenario generation input
credit_spread	Volatility for credit spreads
volterm.equity	Volatility for bonds with terms 1 to 100 length inclusive
cholesky.out	output of cholesky()
termStruct.extension	output of curve_extensionNS()
inflation_in	Inputs for inflation scenario generation

Details

List indexes: Index 1 is short rate, Index 2 is credit spread, Index 3 is total equity return and Index 4 is inflation rate. An important feature of this function is that it uses the Cholesky decomposition of the variance-covariance matrix between these varaibles.

Value

A list of data frames with values for scenario 1 to 1000 and terms 0 to 99

Examples

termStruct.out <- cubic_spline(termStruct);
 termStruct.extension <- curve_extensionNS(termStruct.out);
 credit_spread <- rep(0.01,100);
 cholesky.out <- cholesky(cholinput);
 esga.out <- esga(esgin, credit_spread, volterm.equity, inflation_mean,
 volterm.inflation , cholesky.out, termStruct.extension)

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