setRiskParamsScenariosS

setRiskParamsScenariosS,Scenarios-method

Set risk parameters related to short rates in a Scenarios
 object (these parameters are contained in a
 [<code>ParamsScenarios</code>] sub-object)

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

setRiskParamsScenariosS function

<dl> <dt>vol</dt>
<dd>Volatility for rates in vasicek model</dd>
 <dt>k</dt>
<dd>k for rates in vasicek model</dd>
 <dt>volStock</dt>
<dd>Volatility for UL in Black &amp; Scholes
 model</dd>
 <dt>stock0</dt>
<dd>UL initial value</dd>
 <dt>rho</dt>
<dd>Correlation between stock and short rates</dd></dl>

Arguments

setRiskParamsScenariosS method — setRiskParamsScenariosS

<dl>

 <dt>vol</dt>
<dd>Volatility for rates in vasicek model</dd>


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


 <dt>volStock</dt>
<dd>Volatility for UL in Black &amp; Scholes
 model</dd>


 <dt>stock0</dt>
<dd>UL initial value</dd>


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

</dl>

setRiskParamsScenariosS: setRiskParamsScenariosS method

Description

Arguments