OR2CSCov: Outright to Calendar Spread Covariance Converter
In helenristov/aCompiler: What the package does (short line)
Description
Usage
Arguments
Details
Author(s)
Description
Convert Outright Covariance to a Calendare Spread Covariance
Usage
1
OR2CSCov(ORCov)
Arguments
ORCov
A covariance matrix of outright contracts.
Details
Takes an outright covariance with consecutive contracts and creates the calendar spread
covariance matrix
Author(s)
Nicholas Dregne and Helena Ristov
helenristov/aCompiler documentation built on May 3, 2019, 9:40 p.m.
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Description Usage Arguments Details Author(s)
Description
Convert Outright Covariance to a Calendare Spread Covariance
Usage
1 | OR2CSCov(ORCov)
|
Arguments
ORCov |
A covariance matrix of outright contracts. |
Details
Takes an outright covariance with consecutive contracts and creates the calendar spread covariance matrix
Author(s)
Nicholas Dregne and Helena Ristov
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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