ESG (version 1.3)

setZCRates: setZCRates method

Description

Set the ZC rates in a Scenarios object. Internaly, this method uses the ZCExtraction() function.

Arguments

ZC

The Zero Coupon rates

horizon

Horizon for the calculation (in years)

Examples

scenarios1 <- new("Scenarios")
scenarios1 <- setParamsBaseScenarios(scenarios1, horizon=5, nScenarios=10)
scenarios1 <- scenarios1 <- setRiskParamsScenarios(scenarios1, vol=.1, k=2,volStock=.2,
volRealEstate=.15, volDefault=.2, alpha=.1,beta=1, eta=.05,rho=.5, stock0=100,realEstate0=50,
liquiditySpread0=.01, defaultSpread0=.01)
data(ZC)
scenarios1 <- setZCRates(scenarios1, ZC, horizon=5)