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MultiATSM (version 1.3.0)

Compute_EP: Compute the expected component for all models

Description

Compute the expected component for all models

Usage

Compute_EP(
  ModelPara,
  ModelType,
  UnitYields,
  matAdjUnit,
  N,
  rhoList,
  Economies,
  FactorLabels,
  WishFP = FALSE,
  matMIN = FALSE,
  matMAX = FALSE
)

Arguments

ModelPara

list of model parameter estimates

ModelType

Desired model type

UnitYields

Available options: "Month" and "Year"

matAdjUnit

Adjusted vector of matutities

N

number of country-specific spanned factors

rhoList

List of risk-neutral parameters

Economies

string-vector containing the names of the economies which are part of the economic system

FactorLabels

List of factor labels

WishFP

If users wants to compute the forward premia. Default is FALSE.

matMIN

For the forward premia, the shortest maturity of the remium of interest

matMAX

For the forward premia, the longest maturity of the remium of interest