get_frtn_cov: COV COMPUTE FUNCTION
In raphael210/QDataGet: Data getting functionns
Description
Usage
Arguments
Value
Description
COV COMPUTE FUNCTION
Usage
1
get_frtn_cov(frtn_seri, rebDates, barra_param)
Arguments
frtn_seri
data table input. The factor return data table.
The first column is date and each of the rest columns is a risk factor return series. The data is in day frequency.
rebDates
vector input. The rebDates vector is the dates in which covariance matrix would be obtained.
Value
a list. Each element in the list is a covariance matrix.
The name of each element is the rebDates.
The matrix is computed base on the data no later than rebDate, and represents the ONE YEAR forward covariance matrix from that rebDate on.
raphael210/QDataGet documentation built on May 26, 2019, 11:02 p.m.
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Description Usage Arguments Value
Description
COV COMPUTE FUNCTION
Usage
1 | get_frtn_cov(frtn_seri, rebDates, barra_param)
|
Arguments
frtn_seri |
data table input. The factor return data table. The first column is date and each of the rest columns is a risk factor return series. The data is in day frequency. |
rebDates |
vector input. The rebDates vector is the dates in which covariance matrix would be obtained. |
Value
a list. Each element in the list is a covariance matrix. The name of each element is the rebDates. The matrix is computed base on the data no later than rebDate, and represents the ONE YEAR forward covariance matrix from that rebDate on.
R Package Documentation
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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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