BUnspannedAdapJoint: Transform B_spanned into B_unspanned for jointQ models

In MultiATSM: Multicountry Term Structure of Interest Rates Models

Transform B_spanned into B_unspanned for jointQ models

Description

Transform B_spanned into B_unspanned for jointQ models

Usage

BUnspannedAdapJoint(G, M, N, C, J, BSpanned)

Arguments

G	number of global unspanned factors
M	number of domestic unspanned factors
N	number of domestic spanned factors
C	number of economies of the economic system
J	number of country-specific observed bond yields
BSpanned	B that accomodates only the map to the spanned factors only

MultiATSM documentation built on April 4, 2025, 1:40 a.m.