Y_ModImp function

Model-implied yields (P-dynamics)

Y_ModImp(ALoad, BLoad, K0Z, K1Z, PdynFact, MatLength, TDim, YieldLab)

Arguments

• ALoad: A loadings
• BLoad: B loadings
• K0Z: intercept from the P-dynamics
• K1Z: feedback matrix from the P-dynamics
• PdynFact: time series of the risk-factors spanned factors
• MatLength: length of the vector of maturities
• TDim: Time-series dimension
• YieldLab: Label of yields