rLiquiditySpread {ESG}

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)