A: An (Pricing kernel helper)
In nathanesau/StocVal: Values embedded options in DB pension plan.
Description
Usage
Arguments
Value
Description
Log price of a bond is An + Bn' zt where zt is VAR state vector (Step 1)
Usage
1
Arguments
An
previous value of An (i.e. An-1)
Bnt
previous value of Bn' (i.e. Bn-1')
SigmaL0
pricing kernel parameter estimated in VAR Calibration (Step 2)
Sigma
covariance matrix from OLS
Value
An
nathanesau/StocVal documentation built on May 23, 2019, 12:18 p.m.
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Description Usage Arguments Value
Description
Log price of a bond is An + Bn' zt where zt is VAR state vector (Step 1)
Usage
1 |
Arguments
An |
previous value of An (i.e. An-1) |
Bnt |
previous value of Bn' (i.e. Bn-1') |
SigmaL0 |
pricing kernel parameter estimated in VAR Calibration (Step 2) |
Sigma |
covariance matrix from OLS |
Value
An
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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