compare_yield_fit: Compare fitted yields to historical yields (PLOTS)

In nathanesau/StocVal: Values embedded options in DB pension plan.

Description

Plots historical vs fitted yields. Note that this function WILL work for any number of VAR components as long as calibrate_VAR.out input is correct (however currently calibrate_VAR() only takes 4 VAR components).

Usage

compare_yield_fit(varData, histYields, calibrate_VAR.out, Phi, Sigma, N = c(2,
  3, 5, 10))

Arguments

varData	VAR columns used in OLS (i.e. onemonth, inflation, tenyear, stock)
histYields	histYields to calibrate term structure with (i.e. twoyear, threeyear, fiveyear, tenyear)
calibrate_VAR.out	output of calibrate_VAR
Phi	coefficients of OLS
Sigma	covariance matrix of OLS
N	specifies the terms used in histYields (i.e. 2, 3, 5, 10). Should be the same as parameter than was passed to calibrate_VAR().

Details

For example, marketData <- readRDS("~/Dropbox/Research/StocVal/data/Canada/varinput_canada.Rda"); varData <- data.frame(onemonth=marketData$onemonth, inflation=marketData$inflation, tenyear=marketData$tenyear, stock=marketData$stock); histYields <- data.frame(twoyear=marketData$twoyear, threeyear=marketData$threeyear, fiveyear=marketData$fiveyear, tenyear=marketData$tenyear); N <- c(2,3,5,10) calibrate_VAR.out <- calibrate_VAR(varData, histYields, Phi, Sigma, N); compare_yield_fit(varData, histYields, calibrate_VAR.out, Phi, Sigma, N)

Value

see plots

nathanesau/StocVal documentation built on May 23, 2019, 12:18 p.m.