Compute_EP function

Compute the expected component for all models

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