Description Usage Arguments Details Author(s)
Calculates Variances for Pre-Selected Contract Types
1 2 |
OR_Cov |
Outright covariance matrix to be used in the variance calculations |
Types |
Types of combinations to be calculated from the outright covariance matrix. |
date |
optional parameter in case of ICS var calcs. Need a date to determine the TLS beta to use. |
CalcVar can calculate variances from an outright covariance matrix for outrights, calendar spreads, butterflies, double butterflies, packs, pack spreads and bundles.
Nicholas Dregne and Helena Ristov
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