pr_hw_simul: Simulated prices within the hull-white model,

In veldanie/SuraInvestmentAnalytics: Investment Analytics

Simulated prices within the hull-white model,

Description

HW simulation.

Usage

pr_hw_simul(date_ini, id_swaps, cf_matrix, proy_leg1, proy_leg2, nom_leg1,
  nom_leg2, pr_leg1, pr_leg2, rate_leg1, rate_leg2, curr_leg1, curr_leg2,
  disc_leg1, disc_leg2, str_leg1, str_leg2, first_rate_float_leg1,
  first_rate_float_leg2, prev_cf_dates_leg1, prev_cf_dates_leg2,
  next_cf_dates_leg1, next_cf_dates_leg2, curves_list, curves_curr, spot_cop_id,
  spot_cop_array, spot_id, spot_array, rt_simul_list, simul_days, a, sigma,
  drift_fx, base = 360, M = 1000, base_currs = c("NZD", "AUD", "EUR",
  "GBP"), drift_adjust_usdcop = 0)

Arguments

w_ini	Initial weights.
fn	Objective function or list of objective function. By default it corresponds to the mean-var utility.
lb	Lower bound.
ub	Upper bound.

Value

Optimal weights.

veldanie/SuraInvestmentAnalytics documentation built on April 14, 2024, 10:29 p.m.