ESG (version 1.2)

rShortRate: rShortRate

Description

Direct short rate generation. Object creation is managed internally.

Usage

rShortRate(horizon, nScenarios, ZC, vol, k)

Arguments

horizon

Horizon of projection

nScenarios

Number of scenarios

ZC

ZC rate input

vol

Volatility for short rates

k

k for rates in vasicek model

Examples

# NOT RUN {
data(ZC)
rShortRate(horizon=15, nScenarios=10, ZC=ZC, vol=.1, k=2)
# }