sf.single.bsim: sf.single.bsim

sf.single.bsimR Documentation

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 March 24, 2024, 12:17 p.m.