Rmetrics              package:Rmetrics              R Documentation

_R_m_e_t_r_i_c_s _S_o_f_t_w_a_r_e _C_o_l_l_e_c_t_i_o_n

_D_e_s_c_r_i_p_t_i_o_n:

     A collection and description of functions for teaching
     computational finance and financial  engineering. 

_D_e_t_a_i_l_s:

     Some of the Rmetrics packages have become so huge that it is for
     many Rmetrics programmers a problem to find out where to search
     for a desired function. So w started to split the  biggest
     packages in smaller ones.

     So far Rmetrics (<= R-2.5.1) has packaged functions according  to
     a quite simple subject classification scheme. We have  extended it
     a litte bit, and now this scheme comes with the  following topics:

     A) DATA SETS AND UTILIY FUNCTIONS
      B) CHRONOLOGICAL OBJECTS, FINANCIAL CENTERS AND TIME SERIES
      C) ANALYSIS OF FINANCIAL RETURNS AND VOLATILITY
      D) TECHNICAL ANALYSIS, DECISION MAKING AND PREDICTION
      E) EXTREME VALUE THEORY, COPULAE AND RISK MANAGEMENT
      F) VALUATION OF FINANCIAL INSTRUMENTS
      G) ASSET MANAGEMENT, PORTFOLIO ANALYSIS AND OPTIMIZATION

     We think, this scheme starting with R-2.6.0, will help programmers
      and developers to search faster around for functions in the
     Rmetrics  packages. 

     Changes to previous Rmetrics Packages:

     Concerning A)
      We splitted the package 'fEcofin' in two packages:
      'fEcofin' now holds all economic and financial data sets, and
      'fUtilities' now holds all kinds of utility functions and general
     tools  which are needed for Rmetrics (most as internal functions).

     Concerning B)
      We splitted the package 'fCalendar' now into three  packages:
      'fCalendar'  now holds 'timeDate' class, zone and DST 
     information, and everything what has to do with Holidays and 
     Holiday Calendars,
      'fSeries'  now holds everything about 'timeSeries'  class,
      'fImport'  now holds download functions for several web data
     bases, like Yahoo, Economagic, Federal Reserve, and others.

     Concerning C)
      'fBasics'  still holds everything about financial returns, stable
     and hyperbolic distributions, distributional fits, stylized facts,
     and hypothesis tests. The content of the former 'fSeries' package
     has moved  to four new packages
      'fArma'  holds linear and long range time series models,
     fractional ARMA and fractional Brownian Nois/Motion, mainly
     wrapper functions allowing for timeSeries objects and providing
     easy to use,
      'fGarch'  deals with volatility modeling using ARCH, GARCH,
     APARCH and related heteroskedastic models, also providing an
     interface to OXGarch (Windows only)
      'fNonlinear'  is thought mainly for nonlinearity models,  chaos
     and nonlinearity tests, e.g. like BDS,
      'fUnitRoots' deals with time series trends and unit root testing,
     implementing MacKinnon's pValues and interfacing Pfaff's urca
     package.

     Concerning D)
      The previous fMultivar package has been splitted now into four
     packages:
      'fMultivar'  now contains bivariate and multivariate return
     distributions and tools like bivariate binning and gridding,
     interpolation,
      'fTrading'  deals with technical analysis, benchmark analysis and
     rolling analysis,
      'fRegression'  holds convenient wrappers allowing for timeSeries
     objects to be modeled by regression methods for building trading
     systems, for decision making and prediction)

     Concering E)
      Nothing has changed  so far.
      'fExtremes'  deals with GEV and GPD modeling, the extremal index,
     and Risk estimation,
      'fCopulae'  has functions for bivariate (only) copulae including
     elliptical, archimedean, extreme value, mixed, and empirical
     copulae, tail dependency estimators.

     Concerning F)
      The huge fOptions package has been splitted into three new
     packages:
      'fOptions'  holds the option basics, like Black-Scholes,
     Heston-Nandi, Binomial Trees, American Option Approximations, low
     discrepancy sequences and Monte Carlo valuation of options,
      'fExoticOptions'  has pricing formulas for dozens of exotic
     European options
      'fAsianOptions'  is made for Exponential Brownian Motion for
     (exact) pricing formulas of Asian Options including moment
     matching methods, Gram-Charlier Series Expansion, PDE pricing,
     Laplace Inversion approach, Spectral Expansion approach, and
     symmetry relations.
        'Bonds'  has been started up currently with functions for yield
     curve modeling.

     Concerning G)
      The package fPortfolio has been splitted into new  packages:
      'fAssets'  deals with many aspects of asset selection and asset
     analysis, including robust statistics, clustering, correlation
     analysis, lower partial moments, etc.
      'fPortfolio'  is made for design and optimization of portfolios
     using either the standard Markowitz or the Conditional
     Value-at-Risk approach, included are functions for rolling
     efficient portfolios and frontiers.

