cholesky: Cholesky Decomposition
In nathanesau/StocVal: Values embedded options in DB pension plan.
Description
Usage
Arguments
Value
Examples
Description
Computes the Cholesky Decomposition of a correlation matrix
Usage
1
Arguments
cholinput
a 4x4 correlation matrix for the short rate, credit spread,
excess return and inflation rate
Value
a 4x4 matrix representing the Cholesky decomposition
Examples
1
nathanesau/StocVal documentation built on May 23, 2019, 12:18 p.m.
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Description Usage Arguments Value Examples
Description
Computes the Cholesky Decomposition of a correlation matrix
Usage
1 |
Arguments
cholinput |
a 4x4 correlation matrix for the short rate, credit spread, excess return and inflation rate |
Value
a 4x4 matrix representing the Cholesky decomposition
Examples
1 |
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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