setRiskParamsScenariosS {ESG}

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