Update_SSZ_JLL: Update the variance-covariance matrix from the "JLL joint...

In MultiATSM: Multicountry Term Structure of Interest Rates Models

Update the variance-covariance matrix from the "JLL joint Sigma" model. Necessary for optimization

Description

Update the variance-covariance matrix from the "JLL joint Sigma" model. Necessary for optimization

Usage

Update_SSZ_JLL(SSZ, Z, N, JLLinputs)

Arguments

SSZ	Variance-covariance matrix from JLL model
Z	complete set of spanned and unspanned factors (F x T)
N	number of country-specific spanned factors
JLLinputs	List of inputs from JLL models

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