An implementation of the Black-Litterman Model and Atilio Meucci's copula opinion pooling framework. This should be regarded as a beta release.

To install this package directly within R type: install.packages("BLCOP", repos="http://R-Forge.R-project.org")

Version: 0.2.3 | Last change: 2009-10-17 20:11:06+02 | Rev.: 4531

Stable Release: Get BLCOP 0.2.2 from CRAN

Package for estimation and simulation of ACD models

To install this package directly within R type: install.packages("fACD", repos="http://R-Forge.R-project.org")

Version: 1.0 | Last change: 2009-06-02 17:24:40+02 | Rev.: 4199

Environment for teaching "Financial Engineering and Computational Finance"

To install this package directly within R type: install.packages("fArma", repos="http://R-Forge.R-project.org")

Version: 2110.77 | Last change: 2009-09-30 16:35:49+02 | Rev.: 4452

Stable Release: Get fArma 2100.76 from CRAN

Environment for teaching "Financial Engineering and Computational Finance"

To install this package directly within R type: install.packages("fAsianOptions", repos="http://R-Forge.R-project.org")

Version: 2110.77 | Last change: 2009-10-01 17:19:23+02 | Rev.: 4470

Stable Release: Get fAsianOptions 2100.76 from CRAN

Environment for teaching "Financial Engineering and Computational Finance"

To install this package directly within R type: install.packages("fAssets", repos="http://R-Forge.R-project.org")

Version: 2110.79 | Last change: 2009-11-22 15:13:05+01 | Rev.: 4614

Stable Release: Get fAssets 2100.78 from CRAN

Environment for teaching "Financial Engineering and Computational Finance" NOTE: SEVERAL PARTS ARE STILL PRELIMINARY AND MAY BE CHANGED IN THE FUTURE. THIS TYPICALLY INCLUDES FUNCTION AND ARGUMENT NAMES, AS WELL AS DEFAULTS FOR ARGUMENTS AND RETURN VALUES.

To install this package directly within R type: install.packages("fBasics", repos="http://R-Forge.R-project.org")

Version: 2110.79 | Last change: 2009-11-22 21:31:23+01 | Rev.: 4616

Stable Release: Get fBasics 2100.78 from CRAN

Environment for teaching "Financial Engineering and Computational Finance"

To install this package directly within R type: install.packages("fBonds", repos="http://R-Forge.R-project.org")

Version: 2110.76 | Last change: 2009-09-30 16:35:49+02 | Rev.: 4452

Stable Release: Get fBonds 2100.75 from CRAN

Environment for teaching "Financial Engineering and Computational Finance"

To install this package directly within R type: install.packages("fCalendar", repos="http://R-Forge.R-project.org")

Version: 270.78.5 | Last change: 2009-09-30 16:35:49+02 | Rev.: 4452

Stable Release: Get fCalendar 270.78.3 from CRAN

Environment for teaching "Financial Engineering and Computational Finance"

To install this package directly within R type: install.packages("fCopulae", repos="http://R-Forge.R-project.org")

Version: 2110.78 | Last change: 2009-10-27 23:44:57+01 | Rev.: 4548

Stable Release: Get fCopulae 2110.78 from CRAN

Environment for teaching "Financial Engineering and Computational Finance"

To install this package directly within R type: install.packages("fEcofin", repos="http://R-Forge.R-project.org")

Version: 2100.77 | Last change: 2009-09-29 15:37:25+02 | Rev.: 4449

Stable Release: Get fEcofin 290.76 from CRAN

Environment for teaching "Financial Engineering and Computational Finance"

To install this package directly within R type: install.packages("fExoticOptions", repos="http://R-Forge.R-project.org")

Version: 2110.78 | Last change: 2009-11-10 00:11:59+01 | Rev.: 4571

Stable Release: Get fExoticOptions 2110.77 from CRAN

Environment for teaching "Financial Engineering and Computational Finance"

To install this package directly within R type: install.packages("fExtremes", repos="http://R-Forge.R-project.org")

Version: 2110.78 | Last change: 2009-10-01 17:19:23+02 | Rev.: 4470

Stable Release: Get fExtremes 2100.77 from CRAN

Environment for teaching "Financial Engineering and Computational Finance"

To install this package directly within R type: install.packages("fGarch", repos="http://R-Forge.R-project.org")

Version: 2110.81 | Last change: 2009-11-10 00:12:00+01 | Rev.: 4572

Stable Release: Get fGarch 2110.80 from CRAN

Environment for teaching "Financial Engineering and Computational Finance"

To install this package directly within R type: install.packages("fImport", repos="http://R-Forge.R-project.org")

Version: 2110.78 | Last change: 2009-09-30 16:35:49+02 | Rev.: 4452

Stable Release: Get fImport 2100.77 from CRAN

This is a fast and flexible implementation of the Kalman filter, which can deal with NAs. It is entirely written in C and relies fully on linear algebra subroutines contained in BLAS and LAPACK. Due to the speed of the filter, the fitting of high-dimensional linear state space models to large datasets becomes possible. This package also contains a plot function for the visualization of the state vector and graphical diagnostics of the residuals.

To install this package directly within R type: install.packages("FKF", repos="http://R-Forge.R-project.org")

Version: 0.1.0 | Last change: 2009-10-19 12:22:28+02 | Rev.: 4532

Stable Release: Get FKF 0.1.0 from CRAN

This package provides functions for estimation, simulation and forecasting of a general markov switching regression. The code is flexible enought to handle any number of independents variables, any number of states and any setup for the model iself (see example files)

To install this package directly within R type: install.packages("fMarkovSwitching", repos="http://R-Forge.R-project.org")

Version: 1.0 | Last change: 2009-10-15 20:34:00+02 | Rev.: 4527

Environment for teaching "Financial Engineering and Computational Finance"

To install this package directly within R type: install.packages("fMultivar", repos="http://R-Forge.R-project.org")

Version: 2110.77 | Last change: 2009-09-30 16:35:49+02 | Rev.: 4452

Stable Release: Get fMultivar 2100.76 from CRAN

Environment for teaching "Financial Engineering and Computational Finance"

To install this package directly within R type: install.packages("fNonlinear", repos="http://R-Forge.R-project.org")

Version: 2110.77 | Last change: 2009-09-30 16:35:49+02 | Rev.: 4452

Stable Release: Get fNonlinear 2100.76 from CRAN

Environment for teaching "Financial Engineering and Computational Finance"

To install this package directly within R type: install.packages("fOptions", repos="http://R-Forge.R-project.org")

Version: 2110.77 | Last change: 2009-09-30 16:35:49+02 | Rev.: 4452

Stable Release: Get fOptions 2100.76 from CRAN

Environment for teaching "Financial Engineering and Computational Finance"

To install this package directly within R type: install.packages("fPortfolio", repos="http://R-Forge.R-project.org")

Version: 2110.79 | Last change: 2009-09-30 16:35:55+02 | Rev.: 4454

Stable Release: Get fPortfolio 2100.78 from CRAN

Environment for teaching "Financial Engineering and Computational Finance"

To install this package directly within R type: install.packages("fPortfolioAdvanced", repos="http://R-Forge.R-project.org")

Version: 290.75 | Last change: 2009-10-26 17:26:14+01 | Rev.: 4546

Environment for teaching "Financial Engineering and Computational Finance"

To install this package directly within R type: install.packages("fPortfolioBacktest", repos="http://R-Forge.R-project.org")

Version: 2110.4 | Last change: 2009-09-28 18:56:03+02 | Rev.: 4447

Environment for teaching "Financial Engineering and Computational Finance"

To install this package directly within R type: install.packages("fPortfolioSolver", repos="http://R-Forge.R-project.org")

Version: 271.75 | Last change: 2009-10-01 02:03:28+02 | Rev.: 4466

Environment for teaching "Financial Engineering and Computational Finance"

To install this package directly within R type: install.packages("fRegression", repos="http://R-Forge.R-project.org")

Version: 2110.77 | Last change: 2009-09-30 16:35:49+02 | Rev.: 4452

Stable Release: Get fRegression 2100.76 from CRAN

Environment for teaching "Financial Engineering and Computational Finance"

To install this package directly within R type: install.packages("fSeries", repos="http://R-Forge.R-project.org")

Version: 270.76.5 | Last change: 2009-09-30 16:35:49+02 | Rev.: 4452

Stable Release: Get fSeries 270.76.3 from CRAN

Environment for teaching "Financial Engineering and Computational Finance"

To install this package directly within R type: install.packages("fTrading", repos="http://R-Forge.R-project.org")

Version: 2110.77 | Last change: 2009-09-30 16:35:49+02 | Rev.: 4452

Stable Release: Get fTrading 2100.76 from CRAN

Environment for teaching "Financial Engineering and Computational Finance"

To install this package directly within R type: install.packages("fUnitRoots", repos="http://R-Forge.R-project.org")

Version: 2110.77 | Last change: 2009-09-30 16:35:49+02 | Rev.: 4452

Stable Release: Get fUnitRoots 2100.76 from CRAN

Environment for teaching "Financial Engineering and Computational Finance"

To install this package directly within R type: install.packages("fUtilities", repos="http://R-Forge.R-project.org")

Version: 2110.78 | Last change: 2009-09-30 16:35:49+02 | Rev.: 4452

Stable Release: Get fUtilities 2100.77 from CRAN

This package provides detailed functionality for working with the univariate and multivariate Generalized Hyperbolic distribution and its special cases (Hyperbolic (hyp), Normal Inverse Gaussian (NIG), Variance Gamma (VG), skewed Student-t and Gaussian distribution). Especially, it contains fitting procedures, an AIC-based model selection routine, and functions for the computation of density, quantile, probability, random variates, expected shortfall and some portfolio optimization and plotting routines as well as the likelihood ratio test. In addition, it contains the Generalized Inverse Gaussian distribution.

To install this package directly within R type: install.packages("ghyp", repos="http://R-Forge.R-project.org")

Version: 1.5.2 | Last change: 2009-10-11 13:26:25+02 | Rev.: 4522

Stable Release: Get ghyp 1.5.2 from CRAN

This package provides functions for the hyperbolic and related distributions. Density, distribution and quantile functions and random number generation are provided for the hyperbolic distribution, the generalized hyperbolic distribution, the generalized inverse Gaussian distribution and the skew-Laplace distribution. Additional functionality is provided for the hyperbolic distribution, including fitting of the hyperbolic to data.

To install this package directly within R type: install.packages("HyperbolicDist", repos="http://R-Forge.R-project.org")

Version: 0.6-2 | Last change: 2009-10-09 02:00:31+02 | Rev.: 4497

Stable Release: Get HyperbolicDist 0.6-2 from CRAN

The package provides (1) pseudo random generators - general linear congruential generators (Park Miller) and multiple recursive generators (Knuth TAOCP), generalized feedback shift register (SF-Mersenne Twister algorithm and WELL generators); (2) quasi random generators - the Torus algorithm, the Sobol sequence, the Halton sequence (thus include Van der Corput sequence) and (3) some additional tests such as the gap test, the serial test, the poker test... For true random number generation, use the 'random' package, for Latin Hypercube Sampling (a hybrid qmc method), use the 'lhs' package, a number of RNGs and tests for RNGs are provided by 'RDieHarder', all available on CRAN. There is also a small stand-alone package 'rngwell19937' for the WELL19937a RNG.

To install this package directly within R type: install.packages("randtoolbox", repos="http://R-Forge.R-project.org")

Version: 1.09 | Last change: 2009-10-28 13:25:16+01 | Rev.: 4550

Stable Release: Get randtoolbox 1.07 from CRAN

DONLP2(http://plato.la.asu.edu/donlp2.html) is a general purpose nonlinear constrained programming problem solver written by Peter Spelluci. Rdonlp2 is a wrapper library to use it from R.

To install this package directly within R type: install.packages("Rdonlp2", repos="http://R-Forge.R-project.org")

Version: 0.3-1 | Last change: 2009-10-10 11:11:32+02 | Rev.: 4517

IPOP

To install this package directly within R type: install.packages("Ripop", repos="http://R-Forge.R-project.org")

Version: 0.1 | Last change: 2008-12-06 12:01:39+01 | Rev.: 3682

Lp_solve is freely available (under LGPL 2) software for solving linear, integer and mixed integer programs. In this implementation we supply a "wrapper" function in C and some R functions that solve general linear/integer problems, assignment problems, and transportation problems. This version calls lp_solve version 5.5. THIS PACKAGE IS MODIFIED FOR PORTFOLIO OPTIMIZATION WITH RMETRICS. FOR OTHER PURPOSES PLEASE USE THE ORIGINAL PACKAGE ON THE CRAN SERVER.

To install this package directly within R type: install.packages("RlpSolve", repos="http://R-Forge.R-project.org")

Version: 271.563 | Last change: 2008-12-06 12:28:59+01 | Rev.: 3688

The lpSolveAPI [RlpSolve] package provides an R interface to the lp_solve library - lp_solve is a Mixed Integer Linear Programming (MILP) solver with support for pure linear, (mixed) integer/binary, semi-continuous and special ordered sets (SOS) models. THIS PACKAGE IS MODIFIED FOR PORTFOLIO OPTIMIZATION WITH RMETRICS. FOR OTHER PURPOSES PLEASE USE THE ORIGINAL PACKAGE ON THE CRAN SERVER.

To install this package directly within R type: install.packages("RlpSolveAPI", repos="http://R-Forge.R-project.org")

Version: 2.71.55012 | Last change: 2008-12-06 12:30:27+01 | Rev.: 3689

It is a dedicated package to WELL pseudo random generators. But it is not intended to use it directly, you are strongly __encouraged__ to directly use the 'randtoolbox' package, which depends on this package.

To install this package directly within R type: install.packages("rngWELL", repos="http://R-Forge.R-project.org")

Version: 0.9 | Last change: 2009-10-31 23:29:16+01 | Rev.: 4563

Environment for teaching "Financial Engineering and Computational Finance"

To install this package directly within R type: install.packages("Rnlminb2", repos="http://R-Forge.R-project.org")

Version: 2110.79 | Last change: 2009-10-10 12:21:16+02 | Rev.: 4519

Quadratic Programming THIS PACKAGE CONTAINS ADDONS FOR PORTFOLIO OPTIMIZATION WITH RMETRICS USING QUDRATIC PROGRAMMING SOLVERS. NOTE, CURRENTLY IT JUST LOADS QUADPROG FROM CRAN, ALTERNATIVE QUDRATIC PROGRAMMING SOLVERS WLL BE ADDED HERE.

To install this package directly within R type: install.packages("Rquadprog", repos="http://R-Forge.R-project.org")

Version: 271.1 | Last change: 2008-12-06 12:43:08+01 | Rev.: 3691

Second-order cone programming solver written by M. Lobo, L. Vandenberghe, and S. Boyd. Rsocp is a wrapper library to use it from R. THIS PACKAGE IS USED FOR PORTFOLIO OPTIMIZATION WITH RMETRICS. NOTE, FOR OTHER PURPOSES YOU HAVE TO EXTEND THIS R PORT.

To install this package directly within R type: install.packages("Rsocp", repos="http://R-Forge.R-project.org")

Version: 271.1 | Last change: 2008-12-06 12:33:14+01 | Rev.: 3690

Non-linear Optimization Using Augmented Lagrange Multiplier Method Version for Rmetrics Portfolio Optimization. This package will become obsolete when the original package Rsolnp will be released to CRAN

To install this package directly within R type: install.packages("Rsolnp2", repos="http://R-Forge.R-project.org")

Version: 0.3 | Last change: 2009-10-10 12:22:11+02 | Rev.: 4520

This package provides detailed functionality for working with the Schwartz two-factor commodity model. Essentially, it contains pricing formulas for futures and European options, value-at-risk and expected shortfall for futures contracts, distribution for the state variables and futures contract with respect to the objective probability measure. In addition, it contains a parameter estimation procedure and simulation routines.

To install this package directly within R type: install.packages("schwartz97", repos="http://R-Forge.R-project.org")

Version: 0.0.1 | Last change: 2009-11-12 09:42:59+01 | Rev.: 4574

Functions are provided for the density function, distribution function, quantiles and random number generation for the skew hyperbolic t-distribution. There are also functions that fit the distribution to data. There are functions for the mean, variance, skewness, kurtosis and mode of a given distribution and to calculate moments of any order about any centre. To assess goodness of fit, there are functions to generate a Q-Q plot and a P-P plot.

To install this package directly within R type: install.packages("SkewHyperbolic", repos="http://R-Forge.R-project.org")

Version: 0.1-2 | Last change: 2009-10-10 13:57:12+02 | Rev.: 4521

Stable Release: Get SkewHyperbolic 0.1-2 from CRAN

Environment for teaching "Financial Engineering and Computational Finance"

To install this package directly within R type: install.packages("timeDate", repos="http://R-Forge.R-project.org")

Version: 2110.87 | Last change: 2009-10-12 11:43:43+02 | Rev.: 4523

Stable Release: Get timeDate 2100.86 from CRAN

Environment for teaching "Financial Engineering and Computational Finance"

To install this package directly within R type: install.packages("timeSeries", repos="http://R-Forge.R-project.org")

Version: 2110.85 | Last change: 2009-10-26 15:10:13+01 | Rev.: 4543

Stable Release: Get timeSeries 2100.84 from CRAN

This package provides functions for the variance gamma distributions. Density, distribution and quantile functions. Functions for random number generation and fitting of the variance gamma to data. Also, functions for computing moments of the variance gamma distribution of any order about any location. In addition, there are functions for checking the validity of parameters and to interchange different sets of parameterizatons for the variance gamma distribution.

To install this package directly within R type: install.packages("VarianceGamma", repos="http://R-Forge.R-project.org")

Version: 0.2-1 | Last change: 2009-10-02 03:54:30+02 | Rev.: 4472

Stable Release: Get VarianceGamma 0.2-1 from CRAN