modelEvaluation: Affine model evaluation

Description Usage Arguments Details Value

Description

Functions for evaluating fit of models estimated on divergence data

Usage

 1
 2
 3
 4
 5
 6
 7
 8
 9
10
11
evaluation_fittedPrices(par.vec, model_Likelihood = model_Likelihood,
  par.list = NULL, data.structure, model.spec,
  filterFoo = DSQ_sqrtFilter,
  handlerFoo = affineObservationStateHandler, N.points = 5)

evaluation_plotting(par.vec, model_Likelihood = model_Likelihood,
  par.list = NULL, data.structure, model.spec,
  filterFoo = DSQ_sqrtFilter,
  handlerFoo = affineObservationStateHandler, N.points = 5, plot.path)

evaluation_VCOVsandwich()

Arguments

data.structure

list with fields spec.mat, obs.data, noise.cov.cube

model.spec

list with fields params.P, params.Q, jump.type, dt, N.factors, error, mkt

Details

evaluation_plotting plots the following: (1) time series of filtered factor values, (2) time series of fitted and observed swap rates, (3) Q-Q plots of filtered factors and bootstrap sample from the estimated model factors, (4) autocorrelation functions of pricing errors, (5)

Value

evaluation_fittedPrices returns a list with fields obs (the observed returns and swap prices) and fit (the predicted returns and fitted swap prices.)

evaluation_plotting does not return.


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