ViewCurveSlope: Process views for the expectations and binding constraints as...
In R-Finance/Meucci: Collection of functionality ported from the MATLAB code of Attilio Meucci.
Description
Usage
Arguments
Value
Author(s)
References
Description
Process views for the expectations and binding
constraints as it appears in A. Meucci, "Fully Flexible
Views: Theory and Practice", The Risk Magazine, October
2008, p 100-106
Usage
1
ViewCurveSlope(X, p)
Arguments
X
: panel of joint factors realizations
p
: vector of probabilities
Value
p_ : vector of posterior probabilities
Author(s)
Xavier Valls flamejat@gmail.com
References
A. Meucci, "Fully Flexible Views: Theory and Practice"
http://www.symmys.com/node/158 See Meucci script
for "ButterflyTrading/ViewCurveSlope.m"
R-Finance/Meucci documentation built on May 8, 2019, 3:52 a.m.
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Description Usage Arguments Value Author(s) References
Description
Process views for the expectations and binding constraints as it appears in A. Meucci, "Fully Flexible Views: Theory and Practice", The Risk Magazine, October 2008, p 100-106
Usage
1 | ViewCurveSlope(X, p)
|
Arguments
X |
: panel of joint factors realizations |
p |
: vector of probabilities |
Value
p_ : vector of posterior probabilities
Author(s)
Xavier Valls flamejat@gmail.com
References
A. Meucci, "Fully Flexible Views: Theory and Practice" http://www.symmys.com/node/158 See Meucci script for "ButterflyTrading/ViewCurveSlope.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.
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