Description Usage Arguments Details Value See Also
A generic function which is the creator for an S3 class of multivariate GBM model.
1 2 3 4 5 6 7 8 9 |
... |
arguments to be passed to or from methods. |
drift |
a vector or matrix, which manually sets the drift of the model. |
volatility |
a vector or matrix, which manually sets the volatility. |
S0 |
a vector or matrix, which specifies the spot price. |
corr |
a list of correlation matrices. |
Names |
a character vector that specifies the symbols of the stocks. |
rate |
a numerical scalar or vector specifying the risk free rate. |
divRate |
a scalar, vector or matrix, which specifies the dividend rates. |
data |
an object of class or inherited from |
len |
the window size in years. |
lambda |
the decay factor used by exponential weighting method.
If |
method |
a character string indicating calibration method to be used.
Must be |
This generic function is the mid-layer of the risk calculation system, which performs model calibration based on historical data and parameter specification. See model documentation for details.
An object of class "GBM"
which contains the data and the parameters.
stocks
, addOptions
, portfolio
.
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