assetSet: Extract various fields of view or posterior objects

In BLCOP: Black-Litterman and Copula Opinion Pooling Frameworks

Description

A collection of functions to extract several fields of BLViews, COPViews, COPPosterior and BLPosterior objects.

Usage

assetSet(views)
viewMatrix(views, dropZeroColumns = TRUE)
PMatrix(views)
confidences(views)
posteriorMeanCov(posterior)
posteriorSimulations(posterior)
numSimulations(posterior)
priorViews(posterior)

Arguments

views	An object of class BLViews or COPViews
posterior	An object of class BLPosterior (posteriorMeanCov) or COPPosterior (posteriorSimulations, priorViews) , as appropriate
dropZeroColumns	Logical flag. If TRUE, columns of "view matrix" which only have zeros are dropped

Value

assetSet	The names of the assets in the view object's universe
confidences	The set of confidences in each view.
PMatrix	The 'pick' matrix
viewMatrix	The pick matrix augmented with the q vector of the BL model
posteriorMeanCov	The posterior mean and covariance (in a list) of a BLPosterior object
posteriorSimulations	Matrix of posterior distribution simulations held in a COPPosterior object
numSimulations	Number of simulations in posterior COP distribution

Author(s)

Francisco Gochez <[e-mail]>

Examples

    pick <- matrix(0, ncol = 4, nrow = 1, dimnames = list(NULL, c("SP", "FTSE", "CAC", "DAX")))
    pick[1,4] <- 1
    vdist <- list(distribution("unif", min = -0.02, max = 0))
    views <- COPViews(pick, vdist, 0.2, c("SP", "FTSE", "CAC", "DAX"))
    assetSet(views)
    confidences(views)
    PMatrix(views)

BLCOP documentation built on Jan. 26, 2021, 1:05 a.m.