rLiquiditySpread

Direct liquidity spread generation. Object creation is
 managed internally.

Presents a "Scenarios" class containing
general parameters, risk parameters and projection results.
Risk parameters are gathered together into a ParamsScenarios
sub-object. The general process for using this package is to
set all needed parameters in a Scenarios object, use the
customPathsGeneration method to proceed to the projection, then
use xxx_PriceDistribution() methods to get asset prices.

Wassim Youssef

A Package for Asset Projection

rLiquiditySpread function

<dl> <dt>horizon</dt>
<dd>Horizon of projection</dd>
 <dt>nScenarios</dt>
<dd>Number of scenarios</dd>
 <dt>eta</dt>
<dd>eta Volatility for LMN model</dd>
 <dt>liquiditySpread0</dt>
<dd>Initial value for liquidity
 spread</dd></dl>

Arguments

rLiquiditySpread — rLiquiditySpread

<dl>

 <dt>horizon</dt>
<dd>Horizon of projection</dd>


 <dt>nScenarios</dt>
<dd>Number of scenarios</dd>


 <dt>eta</dt>
<dd>eta Volatility for LMN model</dd>


 <dt>liquiditySpread0</dt>
<dd>Initial value for liquidity
 spread</dd>

</dl>

rLiquiditySpread: rLiquiditySpread

Description

Usage

Arguments

Examples