adjust_delta

Adjust delta for numerical differentiation

internal

Estimation routines for several classes of affine term structure of interest rates models. All the models are based on the single-country unspanned macroeconomic risk framework from Joslin, Priebsch, and Singleton (2014, JF) <doi:10.1111/jofi.12131>. Multicountry extensions such as the ones of Jotikasthira, Le, and Lundblad (2015, JFE) <doi:10.1016/j.jfineco.2014.09.004>, Candelon and Moura (2023, EM) <doi:10.1016/j.econmod.2023.106453>, and Candelon and Moura (Forthcoming, JFEC) <doi:10.1093/jjfinec/nbae008> are also available.

Rubens Moura

MultiATSM

Multicountry Term Structure of Interest Rates Models

adjust_delta function

<dl><dt>f</dt>
<dd>function which contains vector (J x T) valued function handle</dd>
<dt>x</dt>
<dd>parameter values</dd>
<dt>delta</dt>
<dd>initial delta value</dd>
<dt>i</dt>
<dd>index of the parameter being adjusted</dd>
<dt>fx0</dt>
<dd>initial function value</dd>
<dt>direction</dt>
<dd>direction of adjustment (1 for positive, -1 for negative)</dd></dl>

Arguments

Adjust delta for numerical differentiation — adjust_delta

<dl>

<dt>f</dt>
<dd>function which contains vector (J x T) valued function handle</dd>


<dt>x</dt>
<dd>parameter values</dd>


<dt>delta</dt>
<dd>initial delta value</dd>


<dt>i</dt>
<dd>index of the parameter being adjusted</dd>


<dt>fx0</dt>
<dd>initial function value</dd>


<dt>direction</dt>
<dd>direction of adjustment (1 for positive, -1 for negative)</dd>

</dl>

adjust_delta: Adjust delta for numerical differentiation

Description

Usage

Value

Arguments