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