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