rAllRisksFactors.RdDirect generation for all risk factors. Object creation is managed internally.
rAllRisksFactors(horizon, nScenarios, ZC, vol, k,
volStock, stock0, rho, volRealEstate, realEstate0, eta,
liquiditySpread0, defaultSpread0, volDefault, alpha,
beta)Horizon of projection
Number of scenarios
ZC rate input
Volatility for short rates
k for rates in vasicek model
Volatility for stock
Initial value for stock
Correlation between stock and short rates
Volatility for real estate
Initial value for real estate
eta Volatility for LMN model
Initial value for liquidity spread
Initial value for default spread
Volatilty for default spread
alpha for LMN model
beta Volatility for LMN model
data(ZC)
rAllRisksFactors(horizon=5, nScenarios=10, ZC, vol=.1, k=2, volStock=.2, stock0=100, rho=.5,
volRealEstate=.15, realEstate0=50, eta=.05, liquiditySpread0=.01, defaultSpread0=.01,
volDefault=.2, alpha=.1, beta=1)
#> $shortRate
#> [,1] [,2] [,3] [,4] [,5]
#> [1,] 0.0034327 -0.030448647 -0.003959741 -0.010468622 0.135450082
#> [2,] 0.0034327 0.022556290 -0.009081097 0.085893877 0.088497067
#> [3,] 0.0034327 -0.015520485 0.076216289 0.084786518 -0.064872287
#> [4,] 0.0034327 -0.008829486 0.021937307 -0.013894316 -0.011911184
#> [5,] 0.0034327 0.091530959 0.035892355 -0.021874700 0.034451968
#> [6,] 0.0034327 0.006864770 -0.005043609 -0.072655792 0.058100287
#> [7,] 0.0034327 -0.028739843 -0.027523581 -0.078075586 0.023711194
#> [8,] 0.0034327 -0.071418879 0.036785066 0.006348143 0.029927504
#> [9,] 0.0034327 0.037220782 0.024505128 0.127455159 -0.001112218
#> [10,] 0.0034327 0.043932301 -0.008188359 0.040187487 0.067591285
#> [,6]
#> [1,] 0.029153419
#> [2,] -0.000381538
#> [3,] 0.055975329
#> [4,] -0.033605183
#> [5,] 0.022403138
#> [6,] 0.048133288
#> [7,] 0.040015452
#> [8,] -0.042402032
#> [9,] -0.043632283
#> [10,] 0.123356622
#>
#> $s
#> [,1] [,2] [,3] [,4] [,5] [,6]
#> [1,] 100 74.19196 73.03727 56.61068 66.77431 60.19262
#> [2,] 100 105.12105 94.28527 124.67814 156.70382 137.67515
#> [3,] 100 99.27350 172.72170 207.76985 151.08462 192.37318
#> [4,] 100 57.66931 60.17065 34.78768 28.83285 16.42159
#> [5,] 100 121.89672 171.04882 130.61620 175.31220 140.08110
#> [6,] 100 75.82276 73.96078 49.15219 68.18993 56.48169
#> [7,] 100 80.94098 75.87513 57.24861 41.34934 34.64927
#> [8,] 100 91.67028 98.39271 104.55042 85.86056 76.13067
#> [9,] 100 107.11446 83.63526 100.25575 86.24614 60.41519
#> [10,] 100 112.71071 89.07464 99.12209 113.65656 108.46105
#>
#> $realEstate
#> [,1] [,2] [,3] [,4] [,5] [,6]
#> [1,] 50 42.31591 34.19158 29.14398 29.73612 30.72587
#> [2,] 50 61.81855 58.31117 41.52542 39.77027 47.80916
#> [3,] 50 40.13406 44.70624 50.38714 36.72275 34.37054
#> [4,] 50 64.68002 61.72826 58.19752 70.50660 85.38142
#> [5,] 50 43.73388 50.89625 56.02040 69.81887 51.47301
#> [6,] 50 60.04671 61.69193 76.43295 73.54964 53.02402
#> [7,] 50 59.67289 57.05081 55.53424 54.46065 54.79220
#> [8,] 50 37.36009 38.40510 36.19613 31.69216 25.42192
#> [9,] 50 46.38295 44.87318 48.31731 45.93118 48.17033
#> [10,] 50 49.36869 49.59541 54.24059 59.80129 69.61425
#>
#> $liquiditySpread
#> [,1] [,2] [,3] [,4] [,5] [,6]
#> [1,] 0.01 -0.08902356 -0.111251778 -0.06211951 -0.17120385 -0.174638362
#> [2,] 0.01 -0.02968091 -0.025725646 0.07681632 0.06868202 0.119471284
#> [3,] 0.01 -0.07965959 -0.097011431 -0.03730164 -0.01439975 -0.018008546
#> [4,] 0.01 -0.02613483 0.004661393 -0.03043213 -0.08470339 0.001962618
#> [5,] 0.01 -0.10034765 -0.157607323 -0.19300987 -0.28895202 -0.286561909
#> [6,] 0.01 0.10479317 0.059392802 0.01381746 0.01283877 -0.022800364
#> [7,] 0.01 0.07693844 0.071488484 0.03489222 0.05354796 0.077032502
#> [8,] 0.01 -0.02642810 -0.044086669 -0.07319046 -0.03738336 -0.091291331
#> [9,] 0.01 0.08425365 0.059141120 0.06935907 0.11037083 0.059912910
#> [10,] 0.01 0.04837814 0.104012946 0.07095431 0.09141850 0.056725502
#>
#> $defaultSpread
#> [,1] [,2] [,3] [,4] [,5] [,6]
#> [1,] 0.01 0.05165717 0.05925098 0.12034461 0.2471999 0.27060564
#> [2,] 0.01 0.07045040 0.15333675 0.14964608 0.3034232 0.27321037
#> [3,] 0.01 0.05700755 0.19595782 0.20699175 0.4098144 0.24012128
#> [4,] 0.01 0.11733174 0.14050406 0.03726909 0.1559101 0.06988572
#> [5,] 0.01 0.07411692 0.15125329 0.10745473 0.2147343 0.26966563
#> [6,] 0.01 0.12902465 0.10883870 0.13923609 0.3095874 0.34119597
#> [7,] 0.01 0.07149097 0.11553149 0.20458152 0.1497217 0.27432294
#> [8,] 0.01 0.19555399 0.43235925 0.37528232 0.3462202 0.37531546
#> [9,] 0.01 0.08760221 0.08268719 0.08324103 0.1191608 0.11725315
#> [10,] 0.01 0.10441077 0.12297562 0.04071620 0.0804117 0.10018420
#>