R/returns.R

Defines functions returns

Documented in returns

returns <-
function(volvec,indexvol,beta)
{
  covmat<-indexvol^2*beta%*%rbind(beta)
  diag(covmat)<-volvec^2
  tuotod <- exp(0.5*volvec^2)-1
  tuotcov<-exp(0.5*outer(volvec^2,volvec^2,"+"))*(exp(covmat)-1)
  list(mean=tuotod,cov=tuotcov)
}

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RcmdrPlugin.RiskDemo documentation built on Nov. 13, 2023, 5:07 p.m.