condGeneratePortfolio: Prepare elements for hedged GLT return moment calculation

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

Description

Generate list of data frames that describes a sum of hedged GLT portfolio returns or their squares.

Usage

condGeneratePortfolio(u.vec, tau.js = 1/2 * 5/252, deltas = 1/252/6.5,
  ttm = 1/12, weights = rep(1, length(tau.js)), N.factors = 3)

Arguments

u.vec	The frequency vector for which the portfolio is built. Each frequency represents a cross-product of contemporeneous hedged returns.
tau.js	Vector of horizons for which the return is calculated
deltas	Vector of hedging frequencies; if length(detlas) == 1, rep is applied to have length equal to length(tau.js)
ttm	Vector of initial maturity of the portfolio.
weights	A vector of weights to pre-multiply the returns (useful for setting up quadrature approximations)

Value

return.df.list List with two fields: cond.list describing the moment conditions and cond.coeff with coefficients for linear combination.

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