hw_theta: 1-factor Hull White Theta
In nathanesau/StocVal: Values embedded options in DB pension plan.
Description
Usage
Arguments
Value
Examples
Description
Calculates theta for 1-factor hull white short rate model
Usage
1
Arguments
srinput
Hull White model parameters. c(b, tau, scen, prjy, rns)
termStruct.extension
output of curve_extensionNS()
Value
A theta vector
Examples
1
2
3
termStruct.out <- cubic_spline(termStruct);
termStruct.extension <- curve_extensionNS(termStruct.out);
hw.theta <- hw_theta(srinput, termStruct.extension)
nathanesau/StocVal documentation built on May 23, 2019, 12:18 p.m.
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Description Usage Arguments Value Examples
Description
Calculates theta for 1-factor hull white short rate model
Usage
1 |
Arguments
srinput |
Hull White model parameters. c(b, tau, scen, prjy, rns) |
termStruct.extension |
output of curve_extensionNS() |
Value
A theta vector
Examples
1 2 3 | termStruct.out <- cubic_spline(termStruct);
termStruct.extension <- curve_extensionNS(termStruct.out);
hw.theta <- hw_theta(srinput, termStruct.extension)
|
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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