| ParamsScenarios {ESG} | R Documentation |
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
[Package ESG version 1.3 Index]