InputsForOutputs: Collects the inputs that are used to construct the numerical...

In MultiATSM: Multicountry Term Structure of Interest Rates Models

Collects the inputs that are used to construct the numerical and graphical outputs

Description

Collects the inputs that are used to construct the numerical and graphical outputs

Usage

InputsForOutputs(
  ModelType,
  Horiz,
  ListOutputWished,
  OutputLabel,
  WishStationarityQ,
  DataFrequency,
  WishGraphYields = FALSE,
  WishGraphRiskFactors = FALSE,
  WishOrthoJLLgraphs = FALSE,
  WishForwardPremia = FALSE,
  LimFP = NULL,
  WishBootstrap = FALSE,
  ListBoot = NULL,
  WishForecast = FALSE,
  ListForecast = NULL,
  UnitYields = "Month"
)

Arguments

ModelType	character. Model type to be estimated. Permissible choices: "JPS original", "JPS global", "GVAR single", "JPS multi", "GVAR multi", "JLL original", "JLL No DomUnit", "JLL joint Sigma".
Horiz	numeric scalar. Desired analysis horizon for the outputs.
ListOutputWished	character vector. Desired graphical outputs. Available options: "RiskFactors", "Fit", "IRF", "FEVD", "GIRF", "GFEVD", "TermPremia", "ForwardPremia".
OutputLabel	character. Name of the output label to be stored.
WishStationarityQ	logical. Whether to impose that the largest eigenvalue under Q is strictly smaller than 1. TRUE to impose.
DataFrequency	character. Data frequency. Permissible choices: "Daily All Days", "Daily Business Days", "Weekly", "Monthly", "Quarterly", "Annually".
WishGraphYields	logical. Whether to generate graphs for yields. Default is FALSE.
WishGraphRiskFactors	logical. Whether to generate graphs for risk factors. Default is FALSE.
WishOrthoJLLgraphs	logical. Whether to generate orthogonalized JLL-based graphs. Default is FALSE.
WishForwardPremia	logical. Whether to generate forward premia graphs. Default is FALSE.
LimFP	numeric vector. Maturities associated with the start and end dates of the loan.
WishBootstrap	logical. Whether to perform bootstrap-based estimation. Default is FALSE.
ListBoot	list. Contains bootstrap settings: methodBS ("bs", "wild", "block"), BlockLength (numeric), ndraws (numeric), pctg (numeric).
WishForecast	logical. Whether to generate forecasts. Default is FALSE.
ListForecast	list. Contains forecast settings: ForHoriz (numeric), t0Sample (numeric), t0Forecast (numeric), ForType ("Rolling", "Expanding").
UnitYields	character. Maturity unit of yields. Options: "Month" or "Year". Default is "Month".

Value

List of necessary inputs to generate the graphs and outputs of the desired model.

Examples

ModelType <- "JPS original"
Horiz <- 100
DesiredOutputGraphs <- c("Fit", "GIRF", "GFEVD")
OutputLabel <- "Test"
WishStationarityQ <- TRUE
WishGraphRiskFac <- FALSE
WishGraphYields <- TRUE

InputsList <- InputsForOutputs(
  ModelType, Horiz, DesiredOutputGraphs, OutputLabel,
  WishStationarityQ, WishGraphYields, WishGraphRiskFac
)

MultiATSM documentation built on Nov. 5, 2025, 7:01 p.m.