Y_ModImp: Model-implied yields (P-dynamics)

In MultiATSM: Multicountry Term Structure of Interest Rates Models

Model-implied yields (P-dynamics)

Description

Model-implied yields (P-dynamics)

Usage

Y_ModImp(ALoad, BLoad, K0Z, K1Z, PdynFact, MatLength, TDim, YieldLab)

Arguments

ALoad	A loadings
BLoad	B loadings
K0Z	intercept from the P-dynamics
K1Z	feedback matrix from the P-dynamics
PdynFact	time series of the risk-factors spanned factors
MatLength	length of the vector of maturities
TDim	Time-series dimension
YieldLab	Label of yields

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