rDefaultSpread

Direct default spread generation. Object creation is managed internally.

rDefaultSpread(horizon, nScenarios, defaultSpread0,
    volDefault, alpha, beta)

Arguments

horizon

Horizon of projection

nScenarios

Number of scenarios

defaultSpread0

Initial value for default spread

volDefault

Volatility

alpha

alpha for LMN model

beta

beta Volatility for LMN model

Examples

rDefaultSpread(horizon=5, nScenarios=8, defaultSpread0=.01, volDefault=.2, alpha=.1, beta=1)
#>      [,1]       [,2]       [,3]       [,4]       [,5]       [,6]
#> [1,] 0.01 0.05668147 0.11560420 0.26518740 0.31916408 0.40792013
#> [2,] 0.01 0.05615513 0.18555822 0.21018254 0.12571108 0.15122753
#> [3,] 0.01 0.04901402 0.14039516 0.23670514 0.30487680 0.49988970
#> [4,] 0.01 0.07971482 0.14676294 0.19779900 0.14392700 0.09455780
#> [5,] 0.01 0.05079965 0.11637164 0.12013709 0.22817528 0.15063031
#> [6,] 0.01 0.05845838 0.09599808 0.09808014 0.05564542 0.07575106
#> [7,] 0.01 0.15739760 0.18070150 0.17245053 0.35556649 0.38901081
#> [8,] 0.01 0.05952542 0.04418679 0.04558458 0.07186874 0.25390810