setRiskParamsScenariosdefSpr

setRiskParamsScenariosdefSpr,Scenarios-method

Set risk parameters related to default spread 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

setRiskParamsScenariosdefSpr function

<dl> <dt>volDefault</dt>
<dd>Volatility for LMN model</dd>
 <dt>defaultSpread0</dt>
<dd>Initial default spread for LMN
 model</dd>
 <dt>alpha</dt>
<dd>alpha for LMN model</dd>
 <dt>beta</dt>
<dd>beta Volatility for LMN model</dd></dl>

Arguments

setRiskParamsScenariosdefSpr method — setRiskParamsScenariosdefSpr

<dl>

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


 <dt>defaultSpread0</dt>
<dd>Initial default spread for LMN
 model</dd>


 <dt>alpha</dt>
<dd>alpha for LMN model</dd>


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

</dl>

setRiskParamsScenariosdefSpr: setRiskParamsScenariosdefSpr method

Description

Arguments