LogNormalModelParams

Parameters for the log normal risk model

type LogNormalModelParams {
  mu: Float!
  r: Float!
  sigma: Float!
}

Fields

LogNormalModelParams.mu ● Float! non-null scalar

Mu parameter, annualised growth rate of the underlying asset

LogNormalModelParams.r ● Float! non-null scalar

R parameter, annualised growth rate of the risk-free asset, used for discounting of future cash flows, can be any real number

LogNormalModelParams.sigma ● Float! non-null scalar

Sigma parameter, annualised volatility of the underlying asset, must be a strictly non-negative real number

Member of

LogNormalRiskModel object