B: Bn' (Pricing kernel helper)
In nathanesau-academic/StocVal: Values embedded options in DB pension plan.
Description
Usage
Arguments
Value
View source: R/pricingKernel.R
Description
Log price of a bond is An + Bn' zt where zt is VAR state vector (Step 1)
Usage
1
Arguments
Bnt
previous value of Bn' (i.e. Bn-1')
Phi
coefficients from OLS
delta1
vector of constants
Value
Bn'
nathanesau-academic/StocVal documentation built on Nov. 4, 2019, 8:35 p.m.
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Description Usage Arguments Value
View source: R/pricingKernel.R
Description
Log price of a bond is An + Bn' zt where zt is VAR state vector (Step 1)
Usage
1 |
Arguments
Bnt |
previous value of Bn' (i.e. Bn-1') |
Phi |
coefficients from OLS |
delta1 |
vector of constants |
Value
Bn'
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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