stochasticScenarios: Generate stochastic scenarios

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

Description

Convert esga() output into a form that can be read by the valuation functions

Usage

stochasticScenarios(hw.out, termStruct.extension, srinput, esga.out)

Arguments

hw.out	output of hull_white()
termStruct.extension	output of curve_extensionNS()
srinput	hull white input parameters
esga.out	output of esga()

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);
 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)

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