NEXT? www.rmetrics.org


2004-10-11 Rmetrics 200.10058

 

What is Rmetrics?

Rmetrics is a collection of several hundreds of functions which may be useful for teaching "Financial Engineering" and "Computational Finance". These functions are available for R, “GNU’s S”. This is a freely available language and environment for statistical computing and graphics which provides a wide variety of statistical and graphical techniques.

The functions have their source in algorithms and functions written by myself, my students, and many other authors. A major aim is to bring financial algorithms and concepts together under a common software platform and to make it public available mainly for teaching financial engineering and computational finance. Rmetrics is not part of CRAN, Rmetrics is an initiative by its own. Rmetrics has some aims similar like Bioconductor. Rmetrics is an open source and open development software project.

 

What is coming next?

fBasics:
New Topics:
Import from forecasts.org
Add to Refcard colMeans
Parameterization for hyp/nig
Parameterization for stable
Plot Machina Effect
Plot Lagged Correlations
New Examples:
 
fSeries: 
New Topics:
Merge summary.fARMA with print.summary.fARMA
Merge summary.fGARCH with print.summary.fGARCH
Long Memory Behaviour and Hurst Exponent
Unit Root and Cointegration Tests [urca]
GARCH Heteroscedastic Modelling
Systems of Regression Equations [systemfit]
Vector Autoregressive Modelling [dse]
State Space Models [dse]
New Examples:
Zivot/Wang Chapter 3 - ARMA Modelling
Zivot/Wang Chapter 4 - Unit Roots
Zivot/Wang Chapter 6 - Time Series Regression
Zivot/Wang Chapter 7 - Univariate GARCH
Zivot/Wang Chapter 8 - Long Memory
Zivot/Wang Chapter 9 - Rolling Analysis
Zivot/Wang Chapter 10 - SUR
 
fExtremes: 
New Topics:
L- and Probability Weighted Moments
Bivariate Copulae
Multivariate Copulae
New Examples:
Zivot/Wang Chapter 5 - Extreme Values
 
fOptions: 
New Topics:
Exponential Brownian Motion
New Examples:
 
fBonds: 
New Topics:
Bond Arithmetic
Yield Curve
Interest Rate Derivatives
Replicated Portfolios
New Examples:
 
fPortfolio:
New Topics:
Maximum Drawdowns
Markowitz Portfolio
CVaR and DVaR Portfolios
Factor Models
New Examples: