sf.single.bsim: sf.single.bsim

In vsrimurthy/EPFR: EPFR Quantitative Research Environment

sf.single.bsim

Description

runs a single quintile simulation

Usage

sf.single.bsim(fcn, x, y, n, w, h, u, v, g = 5, r, s = 1, b = T,
  p = NULL)

Arguments

fcn	= a fetch function
x	= a YYYYMM (first-return date, backtest start)
y	= a YYYYMM (first-return date, backtest end) after <prdBeg>
n	= a universe (e.g. "R1Mem", or c("EafeMem", 1, "CountryCode", "JP"))
w	= a variable (neutrality group)
h	= a variable (return)
u	= a string (parameter)
v	= a folder (must have sub-folders data/derived)
g	= an integer vector (if vector, last element T/F for dep/indep binning))
r	= classif file
s	= a positive integer (return window)
b	= a boolean (equal/cap-weight universe return)
p	= a variable (cap-weighting factor)

See Also

Other sf: sf.bin.nms, sf.daily, sf.detail, sf.subset, sf.underlying.data.bin, sf.underlying.data, sf.underlying.summ, sf

vsrimurthy/EPFR documentation built on Dec. 24, 2024, 5:20 a.m.