rStock

Direct stock 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

rStock function

<dl> <dt>horizon</dt>
<dd>Horizon of projection</dd>
 <dt>nScenarios</dt>
<dd>Number of scenarios</dd>
 <dt>ZC</dt>
<dd>ZC rate input</dd>
 <dt>vol</dt>
<dd>Volatility for short rates</dd>
 <dt>k</dt>
<dd>k for rates in vasicek model</dd>
 <dt>volStock</dt>
<dd>Volatility</dd>
 <dt>stock0</dt>
<dd>Initial value for stock</dd>
 <dt>rho</dt>
<dd>Correlation between stock and short rates</dd></dl>

Arguments

rStock — rStock

<dl>

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


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


 <dt>ZC</dt>
<dd>ZC rate input</dd>


 <dt>vol</dt>
<dd>Volatility for short rates</dd>


 <dt>k</dt>
<dd>k for rates in vasicek model</dd>


 <dt>volStock</dt>
<dd>Volatility</dd>


 <dt>stock0</dt>
<dd>Initial value for stock</dd>


 <dt>rho</dt>
<dd>Correlation between stock and short rates</dd>

</dl>

rStock: rStock

Description

Usage

Arguments

Examples