rStock {ESG}

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)