Compute_EP: Compute the expected component for all models

In MultiATSM: Multicountry Term Structure of Interest Rates Models

Compute the expected component for all models

Description

Compute the expected component for all models

Usage

Compute_EP(
  ModelPara,
  ModelType,
  UnitYields,
  matAdjUnit,
  N,
  rhoList,
  Economies,
  FactorLabels,
  WishFP = FALSE,
  matMIN = FALSE,
  matMAX = FALSE
)

Arguments

ModelPara	list of model parameter estimates
ModelType	Desired model type
UnitYields	Available options: "Month" and "Year"
matAdjUnit	Adjusted vector of matutities
N	number of country-specific spanned factors
rhoList	List of risk-neutral parameters
Economies	string-vector containing the names of the economies which are part of the economic system
FactorLabels	List of factor labels
WishFP	If users wants to compute the forward premia. Default is FALSE.
matMIN	For the forward premia, the shortest maturity of the remium of interest
matMAX	For the forward premia, the longest maturity of the remium of interest

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