Description Usage Arguments Value Examples
Convert esga() output into a form that can be read by the valuation functions
1 | stochasticScenarios(hw.out, termStruct.extension, srinput, esga.out)
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hw.out |
output of hull_white() |
termStruct.extension |
output of curve_extensionNS() |
srinput |
hull white input parameters |
esga.out |
output of esga() |
A list containing interest rates for various terms, inflation rate, credit rate, total yield, equity index and bond index
1 2 3 4 5 6 7 8 9 | termStruct.out <- cubic_spline(termStruct);
termStruct.extension <- curve_extensionNS(termStruct.out);
credit_spread <- rep(0.01,100);
hw.out <- hull_white(srinput, termStruct.extension, termofyield=1);
cholesky.out <- cholesky(cholinput);
esga.out <- esga(esgin, credit_spread, volterm.equity, inflation_mean,
volterm.inflation , cholesky.out, termStruct.extension);
stochasticScenarios.out <- stochasticScenarios(hw.out, termStruct.extension,
srinput, esga.out)
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