FacQuantile_bs: Compute quantiles for model P-dynamics

In MultiATSM: Multicountry Term Structure of Interest Rates Models

Compute quantiles for model P-dynamics

Description

Compute quantiles for model P-dynamics

Usage

FacQuantile_bs(
  DrawSet,
  LabIRF,
  ndraws,
  quants,
  Horiz,
  FacDim,
  DimLabelsFac,
  ModelType,
  Ortho = FALSE
)

Arguments

DrawSet	Draw-specific set
LabIRF	vector containing the labels "IRF" and "GIRF"
ndraws	number of draws
quants	quantile of the confidence bounds
Horiz	horizon of numerical outputs
FacDim	dimension of the risk factor set
DimLabelsFac	labels of the factor set
ModelType	desired model type
Ortho	Orthogonolized version for the JLL models. Default is FALSE.

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