sf.underlying.data: sf.underlying.data

In vsrimurthy/EPFR: EPFR Quantitative Research Environment

sf.underlying.data

Description

Gets data needed to back-test a single period

Usage

sf.underlying.data(fcn, x, y, n, w, h, u, v, g, r, s)

Arguments

fcn	= a fetch function
x	= a YYYYMM/flowdate (period for which you want returns)
y	= a variable (factor for cap weighting)
n	= a universe (e.g. "EafeMem" or c("GemMem", 1))
w	= a string vector (neutrality group)
h	= a variable (return)
u	= a string (parameter)
v	= a folder (data)
g	= an integer vector (if vector, last element T/F for dep/indep binning))
r	= classif file
s	= a positive integer (return window)

See Also

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

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