CalcVar: Calculates Variances for Different Contract Types Based on an...

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

Description

Calculates Variances for Pre-Selected Contract Types

Usage

CalcVar(OR_Cov, Types, date = last(GetWeekDays(Sys.Date() - 8, Sys.Date() -
  1)))

Arguments

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.

Details

CalcVar can calculate variances from an outright covariance matrix for outrights, calendar spreads, butterflies, double butterflies, packs, pack spreads and bundles.

Author(s)

Nicholas Dregne and Helena Ristov

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