R version 3.3.1 (2016-06-21) -- "Bug in Your Hair"
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> library(ESG)
> png(filename="/home/ddbj/snapshot/RGM3/R_CC/result/ESG/MartingaleTest.Rd_%03d_medium.png", width=480, height=480)
> ### Name: MartingaleTest
> ### Title: MartingaleTest method
> ### Aliases: MartingaleTest MartingaleTest,Scenarios-method
>
> ### ** Examples
>
> objScenario <- new("Scenarios")
> # Basic scenario's parameters setting
> objScenario <- setParamsBaseScenarios(objScenario, horizon = 10, nScenarios = 1000)
> # Risk factors parameters setting
> objScenario <- setRiskParamsScenariosrt(objScenario, vol = .1, k = 2)
> objScenario <- setRiskParamsScenariosS(objScenario, vol = .1, k = 2, volStock = .2, stock0 = 100, rho=.5)
> objScenario <- setRiskParamsScenariosliqSpr(objScenario, eta=.05, liquiditySpread0=.01)
> objScenario <- setRiskParamsScenariosdefSpr(objScenario, volDefault=.2, defaultSpread0=.01, alpha=.1, beta=1)
> # Forward and ZC rates setting
> data(ZC)
> objScenario <- setForwardRates(objScenario, ZC, horizon=10)
> objScenario <- setZCRates(objScenario, ZC, horizon=10)
> # Projection
> objScenario <- customPathsGeneration(objScenario, type="shortRate")
> objScenario <- customPathsGeneration(objScenario, type="stock")
> objScenario <- customPathsGeneration(objScenario, type="defaultSpread")
> objScenario <- customPathsGeneration(objScenario, type="liquiditySpread")
> MartingaleTest(objScenario)
[1] 0.03328549
>
>
>
>
>
> dev.off()
null device
1
>
providing 
.