rAssetDistribution.RdDirect generation for all assets values. Object creation is managed internally.
rAssetDistribution(type, t, T, vol, k, ZC,
nScenarios = NULL, volStock = NULL, stock0 = NULL,
rho = NULL, volRealEstate = NULL, realEstate0 = NULL,
eta = NULL, liquiditySpread0 = NULL,
defaultSpread0 = NULL, volDefault = NULL, alpha = NULL,
beta = NULL, nCoupons = NULL, couponsRate = NULL,
omega = NULL, s = NULL, Strike = NULL)Type of asset. Can be : Zero-Coupon, Bond, CBond, ConvBond, EuroCall_S, EuroPut_Stock, EuroCall_ZC, EuroPut_ZC or CDS.
Date of pricing (has to be an integer)
Date of maturity for the option
Volatility for short rates
k for rates in vasicek model
ZC rate input
Number of scenarios
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
Number of coupons
Rate of coupons
Recoverables in case of default
Date of maturity for the underlying
Strike for options
data(ZC)
rAssetDistribution(type="Zero-Coupon",t=2,T=3,vol=.1, k=2, ZC=ZC, nScenarios=100)
#> [1] 0.9835229 0.9555664 0.9734335 0.9819027 0.9775221 1.0104179 0.9820808
#> [8] 0.9769661 0.9706560 0.9401906 0.9974686 0.9923582 0.9755051 0.9722557
#> [15] 0.9511412 1.0295458 0.9919226 0.9683134 1.0180684 0.9624288 0.9970124
#> [22] 0.9906506 0.9982107 1.0045035 0.9726825 0.9931156 0.9675407 0.9991878
#> [29] 0.9697135 0.9915159 0.9430128 0.9794540 0.9742267 0.9820851 0.9677219
#> [36] 0.9811419 0.9292024 0.9533272 0.9334815 0.9880614 0.9787111 0.9890462
#> [43] 0.9791303 0.9938277 0.9739873 1.0031530 1.0082430 0.9992459 0.9851037
#> [50] 0.9806553 0.9704058 1.0117960 1.0059834 1.0115720 0.9581753 0.9863942
#> [57] 0.9714205 0.9961771 0.9905021 0.9934373 0.9730967 0.9620620 1.0326765
#> [64] 0.9813147 0.9994319 0.9651467 0.9803365 0.9718550 1.0238517 1.0117013
#> [71] 0.9741565 1.0043181 0.9701201 1.0081588 0.9770595 0.9486543 0.9973603
#> [78] 0.9815450 0.9738313 1.0146596 1.0000775 1.0122394 0.9737586 0.9670777
#> [85] 0.9811121 1.0054425 0.9924512 0.9760903 0.9818707 0.9696141 1.0114298
#> [92] 0.9560040 0.9946120 0.9914491 0.9589993 0.9669686 1.0098642 0.9687959
#> [99] 0.9616255 0.9658105
rAssetDistribution(type="Bond",t=3,T=35,nCoupons=20, couponsRate=0.3,vol=.1, k=2,
ZC=ZC, nScenarios=10)
#> [1] 116.2913 117.3489 112.7560 107.5950 111.2378 114.1843 108.5316 111.6647
#> [9] 116.5002 113.0965
rAssetDistribution(type="CBond",t=5,T=35,nCoupons=5, couponsRate=0.3, omega=5,vol=.1, k=2, ZC=ZC,
nScenarios=10,eta=.05, liquiditySpread0=.01, defaultSpread0=.01, volDefault=.2, alpha=.1, beta=1)
#> [1] 1.971813e+05 7.619896e+01 1.617188e+06 4.865188e+07 3.654897e+03
#> [6] 7.848391e+07 2.889864e+03 3.021823e+06 2.333809e+05 4.758474e+05
rAssetDistribution(type="EuroPut_Stock",5,25,Strike=98.5,vol=.1,k=2,ZC=ZC,volStock=.2,
stock0=100, rho=.5,nScenarios=10)
#> [1] 12.147900 6.017191 5.794292 17.361053 3.363621 6.631414 9.932342
#> [8] 11.059139 26.461082 4.841950
rAssetDistribution(type="EuroCall_ZC",4,4.5,s=5, Strike=.985,vol=.1, k=2, ZC=ZC,nScenarios=10)
#> [1] 0.004170284 0.011674220 0.003121754 0.008098619 0.004473409 0.010754263
#> [7] 0.007479264 0.005201808 0.002999006 0.003666473
rAssetDistribution(type="EuroPut_ZC",4,4.5,s=5, Strike=.9385,vol=.1, k=2, ZC=ZC,nScenarios=10)
#> [1] 1.423199e-06 2.320679e-06 4.631614e-06 7.347817e-08 1.812861e-05
#> [6] 3.133375e-07 2.547662e-05 3.024396e-06 1.438774e-06 4.822286e-07