sstModel (version 1.0.0)

computeConstant: Compute The Normalizing Constant for a log-Normal Random Variable

Description

This private function allows to compute scaling constants in the valuation formulas.

Usage

computeConstant(id, scale, cov.matrix)

Arguments

id

an integer value. The risk-factor ids involved in the valuation formula.

scale

a numeric value. The scales corresponding to those risk-factors.

cov.matrix

a numeric matrix. The covariance matrix of the risk-factors.

Value

A numeric value, the scaling constant. This is equal to -0.5 times the variance of the linear combination of the risk-factors provided in the parameters.