condVolChange: Return condition list for approximate volatility change
In piotrek-orlowski/divergenceModelR: Divergence pricing and divergence-based affine model estimation
Description
Usage
Arguments
Value
View source: R/conditionVolChange.R
Description
Return condition list for approximate volatility change
Usage
1
2
condVolChange(factorNum = 1, ret.period = 5/252, ret.start = 0,
lin.u = 0.001, N.factors = 3)
Arguments
factorNum
Integer, specifying which factor we are talking about
ret.period
The period over which we are interested in the change
lin.u
A small number such that expm(lin.u * V) is nearly equal to V
Value
A standard cond struct list
piotrek-orlowski/divergenceModelR documentation built on July 21, 2020, 11:51 a.m.
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Description Usage Arguments Value
View source: R/conditionVolChange.R
Description
Return condition list for approximate volatility change
Usage
1 2 | condVolChange(factorNum = 1, ret.period = 5/252, ret.start = 0,
lin.u = 0.001, N.factors = 3)
|
Arguments
factorNum |
Integer, specifying which factor we are talking about |
ret.period |
The period over which we are interested in the change |
lin.u |
A small number such that expm(lin.u * V) is nearly equal to V |
Value
A standard cond struct list
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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