generate_processes: Generate processes.
In Houstonwp/AIRG: An R replication of the Academy's Interest Rate Generator
Description
Generate processes.
Usage
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generate_processes(N, short_rate = 0.0263, long_rate = 0.0287,
beta_i = 0.00509, beta_alpha = 0.02685, beta_nu = 0.04001,
tau_i = 0.035, tau_alpha = 0.01, tau_nu = 0.0287,
sigma_i = 0.0287, sigma_alpha = 0.04148, sigma_nu = 0.11489,
phi = 2e-04, psi = 0.25164, theta = 1)
Value
A matrix with rows; 1 = log of long rate, 2 = difference (long - short), 3 = log of long rate volatility
Houstonwp/AIRG documentation built on Jan. 12, 2020, 8:10 p.m.
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Description
Generate processes.
Usage
1 2 3 4 5 | generate_processes(N, short_rate = 0.0263, long_rate = 0.0287,
beta_i = 0.00509, beta_alpha = 0.02685, beta_nu = 0.04001,
tau_i = 0.035, tau_alpha = 0.01, tau_nu = 0.0287,
sigma_i = 0.0287, sigma_alpha = 0.04148, sigma_nu = 0.11489,
phi = 2e-04, psi = 0.25164, theta = 1)
|
Value
A matrix with rows; 1 = log of long rate, 2 = difference (long - short), 3 = log of long rate volatility
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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