make_price_impact_data: make_price_impact_data
In Martin-Summer-1090/syslosseval: Provide data and functions to support the analysis in Systemic Loss Evaluation
Description
Usage
Arguments
Value
Examples
View source: R/make_price_impact_data.R
Description
This function prepares the price impact parameters volatility and average
daily volume for the bond exposures in DE, ES, IT, FR, JP, GB, US and Rest of
the world for a given stress test base year. Daily volatility for a given
year is computed on the daily index log returns of the base year.
Usage
1
make_price_impact_data(data_idx, data_adv, base_year)
Arguments
data_idx
sovereign bond indices
data_adv
average daily volume data
base_year
the year for which the analysis is done
Value
A dataframe with variables: Country ADV_sov_bonds, sigma_sov_bonds.
Examples
1
Martin-Summer-1090/syslosseval documentation built on Dec. 17, 2021, 3:14 a.m.
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Description Usage Arguments Value Examples
View source: R/make_price_impact_data.R
Description
This function prepares the price impact parameters volatility and average daily volume for the bond exposures in DE, ES, IT, FR, JP, GB, US and Rest of the world for a given stress test base year. Daily volatility for a given year is computed on the daily index log returns of the base year.
Usage
1 | make_price_impact_data(data_idx, data_adv, base_year)
|
Arguments
data_idx |
sovereign bond indices |
data_adv |
average daily volume data |
base_year |
the year for which the analysis is done |
Value
A dataframe with variables: Country ADV_sov_bonds, sigma_sov_bonds.
Examples
1 |
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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