DoubleDecay: Computes a double-decay covariance matrix.
In R-Finance/Meucci: Collection of functionality ported from the MATLAB code of Attilio Meucci.
Description
Usage
Arguments
Value
Author(s)
References
Description
This function computes a double-decay covariance matrix
for the risk drivers provided, as described in A. Meucci,
"Personalized Risk Management: Historical Scenarios with
Fully Flexible Probabilities" GARP Risk Professional, Dec
2010, p 47-51
Usage
1
DoubleDecay(X, lmd_c, lmd_s)
Arguments
X
matrix representing the risk drivers.
lmd_c
numeric representing the low decay (long
half-life) for the correlations.
lmd_s
numeric representing the high decay (short
half-life) for the volatilities.
Value
m matrix of zeros, representing the expectation of the
risk drivers.
S matrix representing the double-decay estimation for the
correlation matrix of the risk drivers.
Author(s)
Xavier Valls flamejat@gmail.com
References
http://www.symmys.com/node/150 See Meucci script
for "DoubleDecay.m"
R-Finance/Meucci documentation built on May 8, 2019, 3:52 a.m.
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.
Description Usage Arguments Value Author(s) References
Description
This function computes a double-decay covariance matrix for the risk drivers provided, as described in A. Meucci, "Personalized Risk Management: Historical Scenarios with Fully Flexible Probabilities" GARP Risk Professional, Dec 2010, p 47-51
Usage
1 | DoubleDecay(X, lmd_c, lmd_s)
|
Arguments
X |
matrix representing the risk drivers. |
lmd_c |
numeric representing the low decay (long half-life) for the correlations. |
lmd_s |
numeric representing the high decay (short half-life) for the volatilities. |
Value
m matrix of zeros, representing the expectation of the risk drivers.
S matrix representing the double-decay estimation for the correlation matrix of the risk drivers.
Author(s)
Xavier Valls flamejat@gmail.com
References
http://www.symmys.com/node/150 See Meucci script for "DoubleDecay.m"
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.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.