linearHedge: Estimate the delta hedge of for a bond

In GARPFRM: Global Association of Risk Professionals: Financial Risk Manager

Description

This function estimates the delta for hedging a particular bond given bond data

Usage

linearHedge(regressand, regressor)

Arguments

regressand	a bond object in discountFactorArbitrage
regressor	the right hand side

Value

delta of the hedge

Author(s)

Thomas Fillebeen

Examples

# Load Data for historcal analysis tools
data(crsp.short)
data = largecap.ts[,2:6]
head(data)
# Empirical application: Linear hedge estimation
# OLS Level-on-Level regression
deltas = linearHedge(data[,1],data[,2:5])
# Insert the normalized hedged contract versus hedgeable contract value
deltas = c(1,deltas)
# In sample illustration: random, mean reverting spreads

GARPFRM documentation built on May 2, 2019, 5:45 p.m.