CalcCovarInfo: Calculates Covariates for EQPos and Risk Redux Calcs

In helenristov/aCompiler: What the package does (short line)

Description

Calculates Covariates for EQPos and Risk Redux Calcs

Usage

CalcCovarInfo(cov, spread, raw = FALSE, date = last(GetWeekDays(Sys.Date() -
  8, Sys.Date() - 1)))

Arguments

cov	Covariance matrix from which covariates will be derived.
spread	Spread for which to get covariates.
raw	Optional parameter to return raw covarinputs for contracts with an non-one front beta.

Author(s)

Nicholas Dregne

helenristov/aCompiler documentation built on May 3, 2019, 9:40 p.m.