condAdd: This function takes two data frame lists which define...

In piotrek-orlowski/divergenceModelR: Divergence pricing and divergence-based affine model estimation

Description

This function takes two data frame lists which define elements of moment conditions, and two vectors of corresponding linear combination coefficients, and combines them into a single list of data frames which would result from multiplying the two expressions rational in GLT-portfolios.

Usage

condAdd(condStruct.1, condStruct.2, weights = c(1, 1))

Arguments

cond.list.1	A list of data frames defining elements of the moment condition.
cond.list.2	A list of data frames defining elements of the moment condition.
coeffs.1	A list of coefficients for taking a linear combination of the individual moment conditions defined by cond.list.1; must be of equal length as cond.list.1
coeffs.2	A list of coefficients for taking a linear combination of the individual moment conditions defined by cond.list.2; must be of equal length as cond.list.2
lag	Positive real, the time distance between elements of cond.list.1 and cond.list.2, the former happening “later”.

Value

List with named elements, cond.list is a list akin to the input lists, cond.coeff is a list of corresponding coefficients.

piotrek-orlowski/divergenceModelR documentation built on July 21, 2020, 11:51 a.m.