Compute The Normalizing Constant for a log-Normal Random Variable
This private function allows to compute scaling constants in the valuation formulas.
computeConstant(id, scale, cov.matrix)
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. |
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.
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