YieldQuantile_bs function

Compute quantiles for model bond yield-related outputs

YieldQuantile_bs(
  DrawSet,
  LabIRF,
  ndraws,
  quants,
  Horiz,
  FacDim,
  YieDim,
  LabelsYies,
  ModelType,
  Ortho = FALSE
)

Arguments

• DrawSet: Draw-specific set
• LabIRF: vector containing the labels "IRF" and "GIRF"
• ndraws: number of draws
• quants: quantile of the confidence bounds
• Horiz: horizon of numerical outputs
• FacDim: dimension of the risk factor set
• YieDim: dimension of the bond yield set
• LabelsYies: labels of the factor set
• ModelType: desired model type
• Ortho: Orthogonolized version for the JLL models. Default is FALSE.