| Type: | Package |
| Title: | A Package for Asset Projection |
| Version: | 1.3 |
| Date: | 2023-08-28 |
| Author: | Jean-Charles Croix, Thierry Moudiki, Frédéric Planchet, Wassim Youssef |
| Maintainer: | Wassim Youssef <Wassim.G.Youssef@gmail.com> |
| Description: | 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. |
| License: | GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| Depends: | methods |
| Encoding: | UTF-8 |
| Packaged: | 2023-08-29 06:11:11 UTC; wassimyoussef |
| Repository: | CRAN |
| Date/Publication: | 2023-08-29 09:10:07 UTC |
| NeedsCompilation: | no |
ESG - Economic Scenario Generator
Description
Risk neutral Economic Scenario Generator.
Details
| Package: | ESG |
| Type: | Package |
| Version: | 1.2 |
| Date: | 2020-11-29 |
| License: | GNU |
| Depends: | methods |
The package is build around the "Scenarios" object.
Use the dedicated methods to set all the needed parameters then use the customPathsGeneration() method to proceed to the asset projection.
Asset_PriceDistribution method
Description
Get a distribution for any asset price. This method is a wrapper for asset specific pricers.
Arguments
type |
The name of the asset to price. It must be 'Zero-Coupon', 'Bond', 'CBond', 'EuroCall_UL', 'EuroPut_UL', 'EuroCall_ZC' or 'EuroPut_ZC'. |
t |
Date of pricing (has to be an integer) |
T |
Date of maturity for the option |
nCoupons |
Number of coupons |
couponsRate |
Rate of coupons |
omega |
Recoverables in case of default |
s |
Date of maturity for the underlying |
Strike |
Strike for options |
Examples
objScenario <- new("Scenarios")
# Basic scenario's parameters setting
objScenario <- setParamsBaseScenarios(objScenario, horizon = 10, nScenarios = 1000)
# Risk factors parameters setting
objScenario <- setRiskParamsScenariosrt(objScenario, vol = .1, k = 2)
objScenario <- setRiskParamsScenariosS(objScenario, vol = .1, k = 2,
volStock = .2, stock0 = 100, rho=.5)
objScenario <- setRiskParamsScenariosliqSpr(objScenario, eta=.05, liquiditySpread0=.01)
objScenario <- setRiskParamsScenariosdefSpr(objScenario, volDefault=.2,
defaultSpread0=.01, alpha=.1, beta=1)
# Forward and ZC rates setting
data(ZC)
objScenario <- setForwardRates(objScenario, ZC, horizon=10)
objScenario <- setZCRates(objScenario, ZC, horizon=10)
# Projection
objScenario <- customPathsGeneration(objScenario, type="shortRate")
objScenario <- customPathsGeneration(objScenario, type="stock")
objScenario <- customPathsGeneration(objScenario, type="defaultSpread")
objScenario <- customPathsGeneration(objScenario, type="liquiditySpread")
Asset_PriceDistribution(objScenario,type='ConvBond',t=0,T=10,nCoupons=1,couponsRate=0.03)
Bond_PriceDistribution method
Description
Get a distribution for bond price.
Arguments
t |
Date of pricing (has to be an integer) |
T |
Date of maturity |
nCoupons |
Number of coupons |
couponsRate |
Rate of coupons |
CBond_PriceDistribution method
Description
Get a distribution for corporate bond price.
Arguments
t |
Date of pricing (has to be an integer) |
T |
Date of maturity |
nCoupons |
Number of coupons |
couponsRate |
Rate of coupons |
omega |
Recoverables in case of default |
CDSPremium_PriceDistribution
Description
Proceed to the projection using the parameters that were previously set into the Scenarios objet.
Arguments
t |
Date of pricing (has to be an integer) |
T |
Date of maturity for the option |
omega |
Recoverables in case of default |
ConvBond_PriceDistribution method
Description
Proceed to the projection using the parameters that were previously set into the Scenarios objet.
Arguments
type |
The name of the asset for which a projection has to be proceeded. Can be 'shortRate', 'stock', 'realEstate', 'liquiditySpread' or 'defaultSpread'. If NULL, all assets will be projected. |
t |
Date of pricing (has to be an integer) |
T |
Date of maturity for the option |
nCoupons |
Number of coupons |
couponsRate |
Rate of coupons |
EuroCall_Stock_PriceDistribution method
Description
Get a distribution for EuroCall UL price.
Arguments
t |
Date of pricing (has to be an integer) |
T |
Date of maturity |
Strike |
Strike of the option |
EuroCall_ZC_PriceDistribution method
Description
Get a distribution for EuroCall ZC price.
Arguments
t |
Date of pricing (has to be an integer) |
T |
Date of maturity |
s |
Date of maturity for the underlying |
Strike |
Strike of the option |
EuroPut_Stock_PriceDistribution method
Description
Get a distribution for EuroPut UL price.
Arguments
t |
Date of pricing (has to be an integer) |
T |
Date of maturity |
Strike |
Strike of the option |
EuroPut_ZC_PriceDistribution method
Description
Get a distribution for EuroPut ZC price.
Arguments
t |
Date of pricing (has to be an integer) |
T |
Date of maturity |
s |
Date of maturity for the underlying |
Strike |
Strike of the option |
MartingaleTest method
Description
Test the martingale for the Scenarios object.
Examples
objScenario <- new("Scenarios")
# Basic scenario's parameters setting
objScenario <- setParamsBaseScenarios(objScenario, horizon = 10, nScenarios = 1000)
# Risk factors parameters setting
objScenario <- setRiskParamsScenariosrt(objScenario, vol = .1, k = 2)
objScenario <- setRiskParamsScenariosS(objScenario, vol = .1, k = 2,
volStock = .2, stock0 = 100, rho=.5)
objScenario <- setRiskParamsScenariosliqSpr(objScenario, eta=.05, liquiditySpread0=.01)
objScenario <- setRiskParamsScenariosdefSpr(objScenario, volDefault=.2,
defaultSpread0=.01, alpha=.1, beta=1)
# Forward and ZC rates setting
data(ZC)
objScenario <- setForwardRates(objScenario, ZC, horizon=10)
objScenario <- setZCRates(objScenario, ZC, horizon=10)
# Projection
objScenario <- customPathsGeneration(objScenario, type="shortRate")
objScenario <- customPathsGeneration(objScenario, type="stock")
objScenario <- customPathsGeneration(objScenario, type="defaultSpread")
objScenario <- customPathsGeneration(objScenario, type="liquiditySpread")
MartingaleTest(objScenario)
ParamsScenarios class
Description
This class is a container for all the risk related parameters. It is used as a parameter for the Scenarios class.
Details
- horizon
Horizon for the projection (in years)
- nScenarios
Number of scenarios
- vol
Volatility for rates in vasicek model
- k
k for rates in vasicek model
- volStock
Volatility for UL in Black & Scholes model
- volRealEstate
Volatility for real estate in Black & Scholes model
- stock0
Stock initial value
- realEstate0
Real estate initial value
- volDefault
Volatility for LMN model
- alpha
alpha for LMN model
- beta
beta for LMN model
- eta
eta for LMN model
- liquiditySpread0
Initial liquidity for LMN model
- defaultSpread0
Initial default spread for LMN model
- rho
Correlation between stock and short rates
Scenarios class
Description
This is the main class of the package. It has several method to read and write the parameters.
Details
- ParamsScenarios
A ParamsScenarios object containing the risk parameters
- ForwardRates
The forward rates
- ZCRates
Volatility for rates in vasicek model
- shortRatePaths
The short rate generated paths
- stockPaths
The stock generated paths
- realEstatePaths
The real estate generated paths
- liquiditySpreadPaths
The liquidity spread generated paths
- liquiditySpreadPaths
The liquidity spread generated paths
- defaultSpreadPaths
The default spread generated paths
ZC data
Description
ZC data for exemples in the documentation
Usage
data(ZC)Examples
data(ZC)
ZCBond_PriceDistribution method
Description
Get a distribution for ZC bond price.
Arguments
t |
Date of pricing (has to be an integer) |
T |
Date of maturity |
customPathsGeneration method
Description
Proceed to the projection using the parameters that were previously set into the Scenarios objet.
Arguments
type |
The name of the asset for which a projection has to be proceeded. Can be 'shortRate', 'stock', 'realEstate', 'liquiditySpread' or 'defaultSpread'. If NULL, all assets will be projected. |
Examples
objScenario <- new("Scenarios")
# Basic scenario's parameters setting
objScenario <- setParamsBaseScenarios(objScenario, horizon = 10, nScenarios = 1000)
# Risk factors parameters setting
objScenario <- setRiskParamsScenariosrt(objScenario, vol = .1, k = 2)
objScenario <- setRiskParamsScenariosS(objScenario, vol = .1, k = 2,
volStock = .2, stock0 = 100, rho=.5)
objScenario <- setRiskParamsScenariosliqSpr(objScenario, eta=.05, liquiditySpread0=.01)
objScenario <- setRiskParamsScenariosdefSpr(objScenario, volDefault=.2,
defaultSpread0=.01, alpha=.1, beta=1)
# Forward and ZC rates setting
data(ZC)
objScenario <- setForwardRates(objScenario, ZC, horizon=10)
objScenario <- setZCRates(objScenario, ZC, horizon=10)
# Projection
objScenario <- customPathsGeneration(objScenario, type="shortRate")
objScenario <- customPathsGeneration(objScenario, type="stock")
objScenario <- customPathsGeneration(objScenario, type="defaultSpread")
objScenario <- customPathsGeneration(objScenario, type="liquiditySpread")
Internal esg functions
Description
Internal esg functions
Details
These are not to be called by the user.
getForwardRates method
Description
Get the forward rates for a Scenarios object.
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 <- setForwardRates(scenarios1, ZC, horizon=5)
getForwardRates(scenarios1)
getLiquiditySpreadPaths method
Description
Get liquidity spread paths for a Scenarios object after projection.
getParamsBaseScenarios method
Description
Get a list containing the horizon and number of scenarios for a Scenarios object.
Examples
scenarios1 <- new("Scenarios")
scenarios1 <- setParamsBaseScenarios(scenarios1, horizon=5, nScenarios=10)
getParamsBaseScenarios(scenarios1)
getRiskParamsScenarios method
Description
Get a list containing all risk paramaters for a Scenarios object.
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)
getRiskParamsScenarios(scenarios1)
getRiskParamsScenariosRE method
Description
Get a list containing the risk paramaters related to Real Estate for a Scenarios object.
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)
getRiskParamsScenariosRE(scenarios1)
getRiskParamsScenariosS method
Description
Get a list containing the risk paramaters related to UL for a Scenarios object.
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)
getRiskParamsScenariosS(scenarios1)
getRiskParamsScenariosdefSpr method
Description
Get a list containing the risk paramaters related to default spread for a Scenarios object.
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)
getRiskParamsScenariosdefSpr(scenarios1)
getRiskParamsScenariosliqSpr method
Description
Get a list containing the risk paramaters related to the spread for a Scenarios object.
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)
getRiskParamsScenariosliqSpr(scenarios1)
getRiskParamsScenariosrt method
Description
Get a list containing the risk paramaters related to short rates for a Scenarios object.
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)
getRiskParamsScenariosrt(scenarios1)
getShortRatePaths method
Description
Get the short rate paths for a Scenarios object after projection.
getZCRates method
Description
Get the ZC rates for a Scenarios object.
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)
getZCRates(scenarios1)
getdefaultSpreadPaths method
Description
Get default spread paths for a Scenarios object after projection.
getrealEstatePaths method
Description
Get real estate paths for a Scenarios object after projection.
getstockPaths method
Description
Get the UL paths for a Scenarios object after projection.
rAllRisksFactors
Description
Direct generation for all risk factors. Object creation is managed internally.
Usage
rAllRisksFactors(horizon, nScenarios, ZC, vol, k,
volStock, stock0, rho, volRealEstate, realEstate0, eta,
liquiditySpread0, defaultSpread0, volDefault, alpha,
beta)
Arguments
horizon |
Horizon of projection |
nScenarios |
Number of scenarios |
ZC |
ZC rate input |
vol |
Volatility for short rates |
k |
k for rates in vasicek model |
volStock |
Volatility for stock |
stock0 |
Initial value for stock |
rho |
Correlation between stock and short rates |
volRealEstate |
Volatility for real estate |
realEstate0 |
Initial value for real estate |
eta |
eta Volatility for LMN model |
liquiditySpread0 |
Initial value for liquidity spread |
defaultSpread0 |
Initial value for default spread |
volDefault |
Volatilty for default spread |
alpha |
alpha for LMN model |
beta |
beta Volatility for LMN model |
Examples
data(ZC)
rAllRisksFactors(horizon=5, nScenarios=10, ZC, vol=.1, k=2, volStock=.2, stock0=100, rho=.5,
volRealEstate=.15, realEstate0=50, eta=.05, liquiditySpread0=.01, defaultSpread0=.01,
volDefault=.2, alpha=.1, beta=1)
rAssetDistribution
Description
Direct generation for all assets values. Object creation is managed internally.
Usage
rAssetDistribution(type, t, T, vol, k, ZC,
nScenarios = NULL, volStock = NULL, stock0 = NULL,
rho = NULL, volRealEstate = NULL, realEstate0 = NULL,
eta = NULL, liquiditySpread0 = NULL,
defaultSpread0 = NULL, volDefault = NULL, alpha = NULL,
beta = NULL, nCoupons = NULL, couponsRate = NULL,
omega = NULL, s = NULL, Strike = NULL)
Arguments
type |
Type of asset. Can be : Zero-Coupon, Bond, CBond, ConvBond, EuroCall_S, EuroPut_Stock, EuroCall_ZC, EuroPut_ZC or CDS. |
t |
Date of pricing (has to be an integer) |
T |
Date of maturity for the option |
vol |
Volatility for short rates |
k |
k for rates in vasicek model |
ZC |
ZC rate input |
nScenarios |
Number of scenarios |
volStock |
Volatility for stock |
stock0 |
Initial value for stock |
rho |
Correlation between stock and short rates |
volRealEstate |
Volatility for real estate |
realEstate0 |
Initial value for real estate |
eta |
eta Volatility for LMN model |
liquiditySpread0 |
Initial value for liquidity spread |
defaultSpread0 |
Initial value for default spread |
volDefault |
Volatilty for default spread |
alpha |
alpha for LMN model |
beta |
beta Volatility for LMN model |
nCoupons |
Number of coupons |
couponsRate |
Rate of coupons |
omega |
Recoverables in case of default |
s |
Date of maturity for the underlying |
Strike |
Strike for options |
Examples
data(ZC)
rAssetDistribution(type="Zero-Coupon",t=2,T=3,vol=.1, k=2, ZC=ZC, nScenarios=100)
rAssetDistribution(type="Bond",t=3,T=35,nCoupons=20, couponsRate=0.3,vol=.1, k=2,
ZC=ZC, nScenarios=10)
rAssetDistribution(type="CBond",t=5,T=35,nCoupons=5, couponsRate=0.3, omega=5,vol=.1, k=2, ZC=ZC,
nScenarios=10,eta=.05, liquiditySpread0=.01, defaultSpread0=.01, volDefault=.2, alpha=.1, beta=1)
rAssetDistribution(type="EuroPut_Stock",5,25,Strike=98.5,vol=.1,k=2,ZC=ZC,volStock=.2,
stock0=100, rho=.5,nScenarios=10)
rAssetDistribution(type="EuroCall_ZC",4,4.5,s=5, Strike=.985,vol=.1, k=2, ZC=ZC,nScenarios=10)
rAssetDistribution(type="EuroPut_ZC",4,4.5,s=5, Strike=.9385,vol=.1, k=2, ZC=ZC,nScenarios=10)
rDefaultSpread
Description
Direct default spread generation. Object creation is managed internally.
Usage
rDefaultSpread(horizon, nScenarios, defaultSpread0,
volDefault, alpha, beta)
Arguments
horizon |
Horizon of projection |
nScenarios |
Number of scenarios |
defaultSpread0 |
Initial value for default spread |
volDefault |
Volatility |
alpha |
alpha for LMN model |
beta |
beta Volatility for LMN model |
Examples
rDefaultSpread(horizon=5, nScenarios=8, defaultSpread0=.01, volDefault=.2, alpha=.1, beta=1)
rLiquiditySpread
Description
Direct liquidity spread generation. Object creation is managed internally.
Usage
rLiquiditySpread(horizon, nScenarios, eta,
liquiditySpread0)
Arguments
horizon |
Horizon of projection |
nScenarios |
Number of scenarios |
eta |
eta Volatility for LMN model |
liquiditySpread0 |
Initial value for liquidity spread |
Examples
rLiquiditySpread(horizon=5, nScenarios=15, eta=.05, liquiditySpread0=.01)
rRealEstate
Description
Direct real estate generation. Object creation is managed internally.
Usage
rRealEstate(horizon, nScenarios, ZC, vol, k,
volRealEstate, realEstate0)
Arguments
horizon |
Horizon of projection |
nScenarios |
Number of scenarios |
ZC |
ZC rate input |
vol |
Volatility for short rates |
k |
k for rates in vasicek model |
volRealEstate |
Volatility |
realEstate0 |
Initial value for real estate |
Examples
data(ZC)
rRealEstate(horizon=5, nScenarios=10, ZC=ZC, vol=.1, k=2, volRealEstate=.15, realEstate0=50)
rShortRate
Description
Direct short rate generation. Object creation is managed internally.
Usage
rShortRate(horizon, nScenarios, ZC, vol, k)
Arguments
horizon |
Horizon of projection |
nScenarios |
Number of scenarios |
ZC |
ZC rate input |
vol |
Volatility for short rates |
k |
k for rates in vasicek model |
Examples
data(ZC)
rShortRate(horizon=15, nScenarios=10, ZC=ZC, vol=.1, k=2)
rStock
Description
Direct stock generation. Object creation is managed internally.
Usage
rStock(horizon, nScenarios, ZC, vol, k, volStock, stock0,
rho)
Arguments
horizon |
Horizon of projection |
nScenarios |
Number of scenarios |
ZC |
ZC rate input |
vol |
Volatility for short rates |
k |
k for rates in vasicek model |
volStock |
Volatility |
stock0 |
Initial value for stock |
rho |
Correlation between stock and short rates |
Examples
data(ZC)
rStock(horizon=10, nScenarios=7, ZC=ZC, vol=.1, k=2, volStock=.2, stock0=100, rho=.5)
setForwardRates method
Description
Calculate and set the forward rates in a Scenarios object. Internaly, this method uses the ForwardExtraction() function.
Arguments
ZC |
The Zero Coupon rates |
horizon |
Horizon for the calculation (in years) |
Examples
scenarios1 <- new("Scenarios")
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 <- setForwardRates(scenarios1, ZC, horizon=5)
setParamsBaseScenarios method
Description
Set the horizon and nScenarios parameters of the
[ParamsScenarios] sub-object of a
Scenarios object
Arguments
horizon |
Horizon for the projection (in years) |
nScenarios |
Number of scenarios |
Examples
scenarios1 <- new("Scenarios")
scenarios1 <- setParamsBaseScenarios(scenarios1, horizon=5, nScenarios=10)
setRiskParamsScenarios method
Description
Set all the risk parameters of a Scenarios object
(contained in a [ParamsScenarios]
sub-object)
Arguments
vol |
Volatility for rates in vasicek model |
k |
k for rates in vasicek model |
volStock |
Volatility for UL in Black & Scholes model |
volRealEstate |
Volatility for real estate in Black & Scholes model |
volDefault |
Volatility for LMN model |
alpha |
alpha for LMN model |
beta |
beta Volatility for LMN model |
eta |
eta Volatility for LMN model |
rho |
Correlation between stock and short rates |
stock0 |
UL initial value |
realEstate0 |
Real estate initial value |
liquiditySpread0 |
Initial liquidity for LMN model |
defaultSpread0 |
Initial default spread for LMN model |
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)
setRiskParamsScenariosRE method
Description
Set risk parameters related to real estates in a
Scenarios object (these parameters are contained in a
[ParamsScenarios] sub-object)
Arguments
vol |
Volatility for rates in vasicek model |
k |
k for rates in vasicek model |
volRealEstate |
Volatility for real estate in Black & Scholes model |
realEstate0 |
Real estate initial value |
setRiskParamsScenariosS method
Description
Set risk parameters related to short rates in a Scenarios
object (these parameters are contained in a
[ParamsScenarios] sub-object)
Arguments
vol |
Volatility for rates in vasicek model |
k |
k for rates in vasicek model |
volStock |
Volatility for UL in Black & Scholes model |
stock0 |
UL initial value |
rho |
Correlation between stock and short rates |
setRiskParamsScenariosdefSpr method
Description
Set risk parameters related to default spread in a
Scenarios object (these parameters are contained in a
[ParamsScenarios] sub-object)
Arguments
volDefault |
Volatility for LMN model |
defaultSpread0 |
Initial default spread for LMN model |
alpha |
alpha for LMN model |
beta |
beta Volatility for LMN model |
setRiskParamsScenariosliqSpr method
Description
Set risk parameters related to the spread in a Scenarios
object (these parameters are contained in a
[ParamsScenarios] sub-object)
Arguments
eta |
eta Volatility for LMN model |
liquiditySpread0 |
Initial liquidity for LMN model |
setRiskParamsScenariosrt method
Description
Set risk parameters related to short rates in a Scenarios
object (these parameters are contained in a
[ParamsScenarios] sub-object)
Arguments
vol |
Volatility for rates in vasicek model |
k |
k for rates in vasicek model |
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)