SCM

R Development Page

Contributed R Packages

Below is a list of all packages provided by project Rmetrics - Computational Finance.

Important note for package binaries: R-Forge provides these binaries only for the most recent version of R, but not for older versions. In order to successfully install the packages provided on R-Forge, you have to switch to the most recent version of R or, alternatively, install from the package sources (.tar.gz).

Packages

BLCOP

Black-Litterman and copula-opinion pooling frameworks

  An implementation of the Black-Litterman Model and Atilio Meuccis copula opinion pooling framework. This should be regarded as a beta release.
  Version: 0.2.6 | Last change: 2014-11-11 14:34:08+01 | Rev.: 5982
  Download: linux(.tar.gz) | windows(.zip) | Build status: Current | Stable Release: Get BLCOP 0.3.1 from CRAN
  R install command: install.packages("BLCOP", repos="http://R-Forge.R-project.org")
 
Logs:  
Package build: Source package (Linux x86_64) Windows binary (x86_64/i386)
Package check: Linux x86_64 (patched) | Linux x86_64 (devel) Windows (patched) | Windows (devel)


DistributionUtils

Distribution Utilities

  This package contains utilities which are of use in the packages I have developed for dealing with distributions. Currently these packages are GeneralizedHyperbolic, VarianceGamma, and SkewHyperbolic and NormalLaplace. Each of these packages requires DistributionUtils. Functionality includes sample skewness and kurtosis, log-histogram, tail plots, moments by integration, changing the point about which a moment is calculated, functions for testing distributions using inversion tests and the Massart inequality. Also includes an implementation of the incomplete Bessel K function.
  Version: 0.5-2 | Last change: 2014-11-11 13:08:20+01 | Rev.: 5964
  Download: linux(.tar.gz) | windows(.zip) | Build status: Current | Stable Release: Get DistributionUtils 0.5-1 from CRAN
  R install command: install.packages("DistributionUtils", repos="http://R-Forge.R-project.org")
 
Logs:  
Package build: Source package (Linux x86_64) Windows binary (x86_64/i386)
Package check: Linux x86_64 (patched) | Linux x86_64 (devel) Windows (patched) | Windows (devel)


FKF

Fast Kalman Filter

  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.
  Version: 0.1.2 | Last change: 2014-11-11 14:33:42+01 | Rev.: 5980
  Download: linux(.tar.gz) | windows(.zip) | Build status: Current | Stable Release: Get FKF 0.1.3 from CRAN
  R install command: install.packages("FKF", repos="http://R-Forge.R-project.org")
 
Logs:  
Package build: Source package (Linux x86_64) Windows binary (x86_64/i386)
Package check: Linux x86_64 (patched) | Linux x86_64 (devel) Windows (patched) | Windows (devel)


GeneralizedHyperbolic

The Generalized Hyperbolic Distribution

  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, normal inverse Gaussian distribution and generalized inverse Gaussian distribution, including fitting of these distributions to data. Linear models with hyperbolic errors may be fitted using hyperblmFit.
  Version: 0.8-3 | Last change: 2014-11-11 13:08:32+01 | Rev.: 5965
  Download: linux(.tar.gz) | windows(.zip) | Build status: Current | Stable Release: Get GeneralizedHyperbolic 0.8-1 from CRAN
  R install command: install.packages("GeneralizedHyperbolic", repos="http://R-Forge.R-project.org")
 
Logs:  
Package build: Source package (Linux x86_64) Windows binary (x86_64/i386)
Package check: Linux x86_64 (patched) | Linux x86_64 (devel) Windows (patched) | Windows (devel)


HyperbolicDist

The hyperbolic distribution

  This package is no longer being maintained. It has been superseded by GeneralizedHyperbolic. GeneralizedHyperbolic includes all the functionality of HyperbolicDist and more and is based on a more rational design. HyperbolicDist 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.
  Version: 0.6-3 | Last change: 2014-11-11 13:08:44+01 | Rev.: 5966
  Download: linux(.tar.gz) | windows(.zip) | Build status: Current | Stable Release: Get HyperbolicDist 0.6-2 from CRAN
  R install command: install.packages("HyperbolicDist", repos="http://R-Forge.R-project.org")
 
Logs:  
Package build: Source package (Linux x86_64) Windows binary (x86_64/i386)
Package check: Linux x86_64 (patched) | Linux x86_64 (devel) Windows (patched) | Windows (devel)


NormalLaplace

The Normal Laplace Distribution

  This package provides functions for the normal Laplace distribution. It is currently under development and provides only limited functionality. Density, distribution and quantile functions, random number generation, and moments are provided.
  Version: 0.2-0 | Last change: 2014-11-11 13:09:20+01 | Rev.: 5969
  Download: linux(.tar.gz) | windows(.zip) | Build status: Current | Stable Release: Get NormalLaplace 0.2-0 from CRAN
  R install command: install.packages("NormalLaplace", repos="http://R-Forge.R-project.org")
 
Logs:  
Package build: Source package (Linux x86_64) Windows binary (x86_64/i386)
Package check: Linux x86_64 (patched) | Linux x86_64 (devel) Windows (patched) | Windows (devel)


Rdonlp2

An R extension library to use Peter Spellucis DONLP2 from R.

  DONLP2 is a general purpose nonlinear constrained programming problem solver written by Peter Spelluci. The version here uses the C-Code implementation of S. Shoeffert and the Rdonlp2 limplementatation of Ryuichi Tamura.
  Version: 3002.10 | Last change: 2014-11-11 13:07:44+01 | Rev.: 5961
  Download: linux(.tar.gz) | windows(.zip) | Build status: Current
  R install command: install.packages("Rdonlp2", repos="http://R-Forge.R-project.org")
 
Logs:  
Package build: Source package (Linux x86_64) Windows binary (x86_64/i386)
Package check: Linux x86_64 (patched) | Linux x86_64 (devel) Windows (patched) | Windows (devel)


Rnlminb2

An R extension library for constrained optimization with nlminb.

  NLMINB2 is an interior point nonlinear constrained programming problem interface written by Dietgelm Wuertz. The version here calls the R function nlminb from Rs base environment.
  Version: 3002.10 | Last change: 2014-11-11 13:07:56+01 | Rev.: 5962
  Download: linux(.tar.gz) | windows(.zip) | Build status: Current
  R install command: install.packages("Rnlminb2", repos="http://R-Forge.R-project.org")
 
Logs:  
Package build: Source package (Linux x86_64) Windows binary (x86_64/i386)
Package check: Linux x86_64 (patched) | Linux x86_64 (devel) Windows (patched) | Windows (devel)


Rsocp

An R extenstion library to use SOCP from R.

  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.
  Version: 271.1 | Last change: 2014-11-11 13:08:08+01 | Rev.: 5963
  Download: linux(.tar.gz) | windows(.zip) | Build status: Current
  R install command: install.packages("Rsocp", repos="http://R-Forge.R-project.org")
 
Logs:  
Package build: Source package (Linux x86_64) Windows binary (x86_64/i386)
Package check: Linux x86_64 (patched) | Linux x86_64 (devel) Windows (patched) | Windows (devel)


SkewHyperbolic

The Skew Hyperbolic Student t-Distribution

  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, a P-P plot and a tail plot.
  Version: 0.3-4 | Last change: 2014-11-11 13:09:08+01 | Rev.: 5968
  Download: linux(.tar.gz) | windows(.zip) | Build status: Current | Stable Release: Get SkewHyperbolic 0.3-2 from CRAN
  R install command: install.packages("SkewHyperbolic", repos="http://R-Forge.R-project.org")
 
Logs:  
Package build: Source package (Linux x86_64) Windows binary (x86_64/i386)
Package check: Linux x86_64 (patched) | Linux x86_64 (devel) Windows (patched) | Windows (devel)


VarianceGamma

The Variance Gamma Distribution

  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.
  Version: 0.3-1 | Last change: 2014-11-11 13:09:31+01 | Rev.: 5970
  Download: linux(.tar.gz) | windows(.zip) | Build status: Current | Stable Release: Get VarianceGamma 0.3-1 from CRAN
  R install command: install.packages("VarianceGamma", repos="http://R-Forge.R-project.org")
 
Logs:  
Package build: Source package (Linux x86_64) Windows binary (x86_64/i386)
Package check: Linux x86_64 (patched) | Linux x86_64 (devel) Windows (patched) | Windows (devel)


XMLRPC

Remote Procedure Call (RPC) via XML in R

  A simple implementation of XML-RPC for R.
  Version: 0.2-4 | Last change: 2014-11-11 14:34:20+01 | Rev.: 5983
  Download: linux(.tar.gz) | windows(.zip) | Build status: Current
  R install command: install.packages("XMLRPC", repos="http://R-Forge.R-project.org")
 
Logs:  
Package build: Source package (Linux x86_64) Windows binary (x86_64/i386)
Package check: Linux x86_64 (patched) | Linux x86_64 (devel) Windows (patched) | Windows (devel)


fACD

Autoregressive Conditional Duration Models in R

  Package for estimation and simulation of ACD models
  Version: 1.0 | Last change: 2014-11-11 14:32:28+01 | Rev.: 5974
  Download: linux(.tar.gz) | windows(.zip) | Build status: Current
  R install command: install.packages("fACD", repos="http://R-Forge.R-project.org")
 
Logs:  
Package build: Source package (Linux x86_64) Windows binary (x86_64/i386)
Package check: Linux x86_64 (patched) | Linux x86_64 (devel) Windows (patched) | Windows (devel)


fArma

Rmetrics - Modelling ARMA Time Series Processes

  Environment for teaching "Financial Engineering and Computational Finance"
  Version: 3010.80 | Last change: 2014-11-11 11:50:18+01 | Rev.: 5948
  Download: linux(.tar.gz) | windows(.zip) | Build status: Current | Stable Release: Get fArma 3010.79 from CRAN
  R install command: install.packages("fArma", repos="http://R-Forge.R-project.org")
 
Logs:  
Package build: Source package (Linux x86_64) Windows binary (x86_64/i386)
Package check: Linux x86_64 (patched) | Linux x86_64 (devel) Windows (patched) | Windows (devel)


fAsianOptions

Rmetrics - EBM and Asian Option Valuation

  Environment for teaching "Financial Engineering and Computational Finance"
  Version: 3010.81 | Last change: 2014-11-11 13:06:43+01 | Rev.: 5956
  Download: linux(.tar.gz) | windows(.zip) | Build status: Current | Stable Release: Get fAsianOptions 3010.79 from CRAN
  R install command: install.packages("fAsianOptions", repos="http://R-Forge.R-project.org")
 
Logs:  
Package build: Source package (Linux x86_64) Windows binary (x86_64/i386)
Package check: Linux x86_64 (patched) | Linux x86_64 (devel) Windows (patched) | Windows (devel)


fAssets

Rmetrics - Analysing and Modelling Financial Assets

  Environment for teaching "Financial Engineering and Computational Finance".
  Version: 3011.83 | Last change: 2014-11-11 13:07:07+01 | Rev.: 5958
  Download: linux(.tar.gz) | windows(.zip) | Build status: Current | Stable Release: Get fAssets 3011.83 from CRAN
  R install command: install.packages("fAssets", repos="http://R-Forge.R-project.org")
 
Logs:  
Package build: Source package (Linux x86_64) Windows binary (x86_64/i386)
Package check: Linux x86_64 (patched) | Linux x86_64 (devel) Windows (patched) | Windows (devel)


fBasics

Rmetrics - Markets and Basic Statistics

  Environment for teaching "Financial Engineering and Computational Finance".
  Version: 3022.88 | Last change: 2016-12-19 16:27:23+01 | Rev.: 6021
  Download: linux(.tar.gz) | windows(.zip) | Build status: Current | Stable Release: Get fBasics 3011.87 from CRAN
  R install command: install.packages("fBasics", repos="http://R-Forge.R-project.org")
 
Logs:  
Package build: Source package (Linux x86_64) Windows binary (x86_64/i386)
Package check: Linux x86_64 (patched) | Linux x86_64 (devel) Windows (patched) | Windows (devel)


fBonds

Rmetrics - Pricing and Evaluating Bonds

  Environment for teaching "Financial Engineering and Computational Finance"
  Version: 3010.77 | Last change: 2014-11-11 11:50:54+01 | Rev.: 5951
  Download: linux(.tar.gz) | windows(.zip) | Build status: Current | Stable Release: Get fBonds 3010.77 from CRAN
  R install command: install.packages("fBonds", repos="http://R-Forge.R-project.org")
 
Logs:  
Package build: Source package (Linux x86_64) Windows binary (x86_64/i386)
Package check: Linux x86_64 (patched) | Linux x86_64 (devel) Windows (patched) | Windows (devel)


fCertificates

fCertificates - Basics of Certificates and Structured Products Valuation

  Collection of pricing by duplication methods for popular structured products ("Zertifikate")
  Version: 0.5-3 | Last change: 2014-11-11 14:32:52+01 | Rev.: 5976
  Download: linux(.tar.gz) | windows(.zip) | Build status: Current | Stable Release: Get fCertificates 0.5-4 from CRAN
  R install command: install.packages("fCertificates", repos="http://R-Forge.R-project.org")
 
Logs:  
Package build: Source package (Linux x86_64) Windows binary (x86_64/i386)
Package check: Linux x86_64 (patched) | Linux x86_64 (devel) Windows (patched) | Windows (devel)


fCopulae

Rmetrics - Bivariate Dependence Structures with Copulae

  Environment for teaching "Financial Engineering and Computational Finance".
  Version: 3011.81 | Last change: 2014-11-11 11:50:30+01 | Rev.: 5949
  Download: linux(.tar.gz) | windows(.zip) | Build status: Current | Stable Release: Get fCopulae 3011.81 from CRAN
  R install command: install.packages("fCopulae", repos="http://R-Forge.R-project.org")
 
Logs:  
Package build: Source package (Linux x86_64) Windows binary (x86_64/i386)
Package check: Linux x86_64 (patched) | Linux x86_64 (devel) Windows (patched) | Windows (devel)


fEcofin

Economic and Financial Data Sets

  Environment for teaching "Financial Engineering and Computational Finance"
  Version: 2100.77 | Last change: 2014-11-11 13:07:30+01 | Rev.: 5960
  Download: linux(.tar.gz) | windows(.zip) | Build status: Current
  R install command: install.packages("fEcofin", repos="http://R-Forge.R-project.org")
 
Logs:  
Package build: Source package (Linux x86_64) Windows binary (x86_64/i386)
Package check: Linux x86_64 (patched) | Linux x86_64 (devel) Windows (patched) | Windows (devel)


fExoticOptions

Rmetrics - Pricing and Evaluating Exotic Option

  Environment for teaching "Financial Engineering and Computational Finance"
  Version: 3010.79 | Last change: 2014-11-11 13:06:55+01 | Rev.: 5957
  Download: linux(.tar.gz) | windows(.zip) | Build status: Current | Stable Release: Get fExoticOptions 2152.78 from CRAN
  R install command: install.packages("fExoticOptions", repos="http://R-Forge.R-project.org")
 
Logs:  
Package build: Source package (Linux x86_64) Windows binary (x86_64/i386)
Package check: Linux x86_64 (patched) | Linux x86_64 (devel) Windows (patched) | Windows (devel)


fExpressCertificates

fExpressCertificates - Structured Products Valuation for ExpressCertificates/Autocallables

  Collection of pricing by duplication and Monte Carlo methods for Express Certificates products (also known as Autocallables)
  Version: 1.2 | Last change: 2014-11-11 14:33:04+01 | Rev.: 5977
  Download: linux(.tar.gz) | windows(.zip) | Build status: Current | Stable Release: Get fExpressCertificates 1.2 from CRAN
  R install command: install.packages("fExpressCertificates", repos="http://R-Forge.R-project.org")
 
Logs:  
Package build: Source package (Linux x86_64) Windows binary (x86_64/i386)
Package check: Linux x86_64 (patched) | Linux x86_64 (devel) Windows (patched) | Windows (devel)


fExtremes

Rmetrics - Modelling Extreme Events in Finance

  Environment for teaching "Financial Engineering and Computational Finance"
  Version: 3010.81 | Last change: 2014-11-11 11:51:41+01 | Rev.: 5955
  Download: linux(.tar.gz) | windows(.zip) | Build status: Current | Stable Release: Get fExtremes 3010.81 from CRAN
  R install command: install.packages("fExtremes", repos="http://R-Forge.R-project.org")
 
Logs:  
Package build: Source package (Linux x86_64) Windows binary (x86_64/i386)
Package check: Linux x86_64 (patched) | Linux x86_64 (devel) Windows (patched) | Windows (devel)


fGarch

Rmetrics - Modelling Autoregressive Conditional Heteroskedasticity

  Environment for teaching "Financial Engineering and Computational Finance"
  Version: 3010.82 | Last change: 2015-01-06 13:24:11+01 | Rev.: 5988
  Download: linux(.tar.gz) | windows(.zip) | Build status: Current | Stable Release: Get fGarch 3010.82.1 from CRAN
  R install command: install.packages("fGarch", repos="http://R-Forge.R-project.org")
 
Logs:  
Package build: Source package (Linux x86_64) Windows binary (x86_64/i386)
Package check: Linux x86_64 (patched) | Linux x86_64 (devel) Windows (patched) | Windows (devel)


fImport

Rmetrics - Importing Economic and Financial Data

  Environment for teaching "Financial Engineering and Computational Finance". Importing Economic and Financial Data.
  Version: 3012.83 | Last change: 2015-03-11 14:27:53+01 | Rev.: 5995
  Download: linux(.tar.gz) | windows(.zip) | Build status: Current | Stable Release: Get fImport 3000.82 from CRAN
  R install command: install.packages("fImport", repos="http://R-Forge.R-project.org")
 
Logs:  
Package build: Source package (Linux x86_64) Windows binary (x86_64/i386)
Package check: Linux x86_64 (patched) | Linux x86_64 (devel) Windows (patched) | Windows (devel)


fMarkovSwitching

R Package for Estimation, Simulation and Forecasting of a Univariate Markov Switching Model

  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)
  Version: 1.0 | Last change: 2014-11-11 14:32:40+01 | Rev.: 5975
  Download: linux(.tar.gz) | windows(.zip) | Build status: Current
  R install command: install.packages("fMarkovSwitching", repos="http://R-Forge.R-project.org")
 
Logs:  
Package build: Source package (Linux x86_64) Windows binary (x86_64/i386)
Package check: Linux x86_64 (patched) | Linux x86_64 (devel) Windows (patched) | Windows (devel)


fMultivar

Rmetrics - Analysing and Modeling Multivariate Financial Return Distributions

  Environment for teaching "Financial Engineering and Computational Finance"
  Version: 3022.79 | Last change: 2015-11-10 15:16:48+01 | Rev.: 6010
  Download: linux(.tar.gz) | windows(.zip) | Build status: Current | Stable Release: Get fMultivar 3011.78 from CRAN
  R install command: install.packages("fMultivar", repos="http://R-Forge.R-project.org")
 
Logs:  
Package build: Source package (Linux x86_64) Windows binary (x86_64/i386)
Package check: Linux x86_64 (patched) | Linux x86_64 (devel) Windows (patched) | Windows (devel)


fNonlinear

Rmetrics - Nonlinear and Chaotic Time Series Modelling

  Environment for teaching "Financial Engineering and Computational Finance"
  Version: 3010.78 | Last change: 2014-11-11 11:51:17+01 | Rev.: 5953
  Download: linux(.tar.gz) | windows(.zip) | Build status: Current | Stable Release: Get fNonlinear 3010.78 from CRAN
  R install command: install.packages("fNonlinear", repos="http://R-Forge.R-project.org")
 
Logs:  
Package build: Source package (Linux x86_64) Windows binary (x86_64/i386)
Package check: Linux x86_64 (patched) | Linux x86_64 (devel) Windows (patched) | Windows (devel)


fOptions

Rmetrics - Pricing and Evaluating Basic Options

  Environment for teaching "Financial Engineering and Computational Finance". Pricing and Evaluating Basic Options.
  Version: 3022.85 | Last change: 2015-11-09 16:09:06+01 | Rev.: 6007
  Download: linux(.tar.gz) | windows(.zip) | Build status: Current | Stable Release: Get fOptions 3022.85 from CRAN
  R install command: install.packages("fOptions", repos="http://R-Forge.R-project.org")
 
Logs:  
Package build: Source package (Linux x86_64) Windows binary (x86_64/i386)
Package check: Linux x86_64 (patched) | Linux x86_64 (devel) Windows (patched) | Windows (devel)


fPortfolio

Rmetrics - Portfolio Selection and Optimization

  Environment for teaching "Financial Engineering and Computational Finance".
  Version: 3022.82 | Last change: 2016-04-14 15:30:01+02 | Rev.: 6015
  Download: linux(.tar.gz) | windows(.zip) | Build status: Current | Stable Release: Get fPortfolio 3011.81 from CRAN
  R install command: install.packages("fPortfolio", repos="http://R-Forge.R-project.org")
 
Logs:  
Package build: Source package (Linux x86_64) Windows binary (x86_64/i386)
Package check: Linux x86_64 (patched) | Linux x86_64 (devel) Windows (patched) | Windows (devel)


fRegression

Rmetrics - Regression Based Decision and Prediction

  Environment for teaching "Financial Engineering and Computational Finance".
  Version: 3011.81 | Last change: 2014-11-11 11:51:29+01 | Rev.: 5954
  Download: linux(.tar.gz) | windows(.zip) | Build status: Current | Stable Release: Get fRegression 3011.81 from CRAN
  R install command: install.packages("fRegression", repos="http://R-Forge.R-project.org")
 
Logs:  
Package build: Source package (Linux x86_64) Windows binary (x86_64/i386)
Package check: Linux x86_64 (patched) | Linux x86_64 (devel) Windows (patched) | Windows (devel)


fTrading

Rmetrics - Trading and Rebalancing Financial Instruments

  Environment for teaching "Financial Engineering and Computational Finance"
  Version: 3010.78 | Last change: 2014-11-11 11:49:43+01 | Rev.: 5945
  Download: linux(.tar.gz) | windows(.zip) | Build status: Current | Stable Release: Get fTrading 3010.78 from CRAN
  R install command: install.packages("fTrading", repos="http://R-Forge.R-project.org")
 
Logs:  
Package build: Source package (Linux x86_64) Windows binary (x86_64/i386)
Package check: Linux x86_64 (patched) | Linux x86_64 (devel) Windows (patched) | Windows (devel)


fUnitRoots

Rmetrics - Modelling Trends and Unit Roots

  Environment for teaching "Financial Engineering and Computational Finance"
  Version: 3010.78 | Last change: 2014-11-11 11:49:54+01 | Rev.: 5946
  Download: linux(.tar.gz) | windows(.zip) | Build status: Current | Stable Release: Get fUnitRoots 3010.78 from CRAN
  R install command: install.packages("fUnitRoots", repos="http://R-Forge.R-project.org")
 
Logs:  
Package build: Source package (Linux x86_64) Windows binary (x86_64/i386)
Package check: Linux x86_64 (patched) | Linux x86_64 (devel) Windows (patched) | Windows (devel)


ghyp

A package on the generalized hyperbolic distribution and its special cases

  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.
  Version: 1.5.6 | Last change: 2014-11-11 13:08:56+01 | Rev.: 5967
  Download: linux(.tar.gz) | windows(.zip) | Build status: Current | Stable Release: Get ghyp 1.5.7 from CRAN
  R install command: install.packages("ghyp", repos="http://R-Forge.R-project.org")
 
Logs:  
Package build: Source package (Linux x86_64) Windows binary (x86_64/i386)
Package check: Linux x86_64 (patched) | Linux x86_64 (devel) Windows (patched) | Windows (devel)


gldist

An Asymmetry-Steepness Parameterization of the Generalized Lambda Distribution.

  The generalized lambda distribution (GLD) is a versatile distribution that can accommodate a wide range of shapes, including fat-tailed and asymmetric distributions. This package implements a more intuitive parameterization of the GLD that expresses the location and scale parameters directly as the median and inter-quartile range of the distribution. The remaining two shape parameters characterize the asymmetry and steepness of the distribution respectively. The fitting of the GLD to empirical data can be reduced to a two-parameter estimation problem where the location and scale parameters are estimated by their robust sample estimators. Moreover, the parameterization can be used to compare data sets in a convenient asymmetry and steepness shape plot. The underline C routines are written such that compilers that support vectorized mathematical operations can automatically vectorize the most time consuming loops (tested with icc 12.1.0). The package includes the usual distribution functions, fitting routines and a shape plot function.
  Version: 2160.2 | Last change: 2014-11-11 14:33:28+01 | Rev.: 5979
  Download: linux(.tar.gz) | windows(.zip) | Build status: Current | Stable Release: Get gldist 2160.2 from CRAN
  R install command: install.packages("gldist", repos="http://R-Forge.R-project.org")
 
Logs:  
Package build: Source package (Linux x86_64) Windows binary (x86_64/i386)
Package check: Linux x86_64 (patched) | Linux x86_64 (devel) Windows (patched) | Windows (devel)


randtoolbox

Toolbox for Pseudo and Quasi Random Number Generation and Random Generator Tests

  Provides (1) pseudo random generators - general linear congruential generators, multiple recursive generators and generalized feedback shift register (SF-Mersenne Twister algorithm and WELL generators); (2) quasi random generators - the Torus algorithm, the Sobol sequence, the Halton sequence (including the Van der Corput sequence) and (3) some generator tests - the gap test, the serial test, the poker test. The package can be provided without the dependency on demand to the maintainer. For true random number generation, use the random package; for Latin Hypercube Sampling, use the lhs package. There is also a small stand-alone package rngwell19937 for WELL19937a generator. Version in Memoriam of Diethelm and Barbara Wuertz.
  Version: 1.20 | Last change: 2017-07-22 07:59:45+02 | Rev.: 6036
  Download: linux(.tar.gz) | windows(.zip) | Build status: Building | Stable Release: Get randtoolbox 1.17 from CRAN
  R install command: install.packages("randtoolbox", repos="http://R-Forge.R-project.org")
 
Logs:  
Package build: Source package (Linux x86_64) Windows binary (x86_64/i386)
Package check: Linux x86_64 (patched) | Linux x86_64 (devel) Windows (patched) | Windows (devel)


Old Version: 1.20 | Last change: 2017-05-12 14:58:03
Old Version Download: linux(.tar.gz) | windows(.zip)

rngWELL

Toolbox for WELL Random Number Generators

  It is a dedicated package to WELL pseudo random generators, which were introduced in Panneton et al. (2006), ``Improved Long-Period Generators Based on Linear Recurrences Modulo 2, ACM Transactions on Mathematical Software. But this package is not intended to be used directly, you are strongly __encouraged__ to use the randtoolbox package, which depends on this package.
  Version: 0.10-5 | Last change: 2017-05-18 19:10:42+02 | Rev.: 6035
  Download: linux(.tar.gz) | windows(.zip) | Build status: Current | Stable Release: Get rngWELL 0.10-5 from CRAN
  R install command: install.packages("rngWELL", repos="http://R-Forge.R-project.org")
 
Logs:  
Package build: Source package (Linux x86_64) Windows binary (x86_64/i386)
Package check: Linux x86_64 (patched) | Linux x86_64 (devel) Windows (patched) | Windows (devel)


rngWELLOriginal

Well Equidistributed Long-period Linear modulo 2 random number generators by F. Panneton, P. LEcuyer, and M. Matsumoto.

  This package provides an R interface to the WELL generators implemented at http://www.iro.umontreal.ca/~panneton/WELLRNG.html and described in the paper F. Panneton, P. LEcuyer, and M. Matsumoto, Improved Long-Period Generators Based on Linear Recurrences Modulo 2. The package belongs to a collection of packages related to randtoolbox.
  Version: 0.0-3 | Last change: 2014-11-11 14:31:52+01 | Rev.: 5971
  Download: linux(.tar.gz) | windows(.zip) | Build status: Current
  R install command: install.packages("rngWELLOriginal", repos="http://R-Forge.R-project.org")
 
Logs:  
Package build: Source package (Linux x86_64) Windows binary (x86_64/i386)
Package check: Linux x86_64 (patched) | Linux x86_64 (devel) Windows (patched) | Windows (devel)


schwartz97

A package on the Schwartz two-factor commodity model

  This package provides detailed functionality for working with the Schwartz 1997 two-factor commodity model. Essentially, it contains pricing formulas for futures and European options and the standard d/p/q/r functions for the distribution of the state variables and futures prices. In addition, a parameter estimation procedure is contained together with many utilities as filtering and plotting functionality. This package is accompanied by futures data of ten commodities.
  Version: 0.0.4 | Last change: 2014-11-11 14:33:56+01 | Rev.: 5981
  Download: linux(.tar.gz) | windows(.zip) | Build status: Current | Stable Release: Get schwartz97 0.0.6 from CRAN
  R install command: install.packages("schwartz97", repos="http://R-Forge.R-project.org")
 
Logs:  
Package build: Source package (Linux x86_64) Windows binary (x86_64/i386)
Package check: Linux x86_64 (patched) | Linux x86_64 (devel) Windows (patched) | Windows (devel)


stabledist

Stable Distribution Functions

  Density, Probability and Quantile functions, and random number generation for (skew) stable distributions, using the parametrizations of Nolan.
  Version: 0.7-1 | Last change: 2016-09-12 15:21:07+02 | Rev.: 6019
  Download: linux(.tar.gz) | windows(.zip) | Build status: Current | Stable Release: Get stabledist 0.7-1 from CRAN
  R install command: install.packages("stabledist", repos="http://R-Forge.R-project.org")
 
Logs:  
Package build: Source package (Linux x86_64) Windows binary (x86_64/i386)
Package check: Linux x86_64 (patched) | Linux x86_64 (devel) Windows (patched) | Windows (devel)


timeDate

Rmetrics - Chronological and Calendar Objects

  Environment for teaching "Financial Engineering and Computational Finance". Managing chronological and calendar objects.
  Version: 3012.100 | Last change: 2016-06-09 11:08:49+02 | Rev.: 6016
  Download: linux(.tar.gz) | windows(.zip) | Build status: Current | Stable Release: Get timeDate 3012.100 from CRAN
  R install command: install.packages("timeDate", repos="http://R-Forge.R-project.org")
 
Logs:  
Package build: Source package (Linux x86_64) Windows binary (x86_64/i386)
Package check: Linux x86_64 (patched) | Linux x86_64 (devel) Windows (patched) | Windows (devel)


timeSeries

Rmetrics - Financial Time Series Objects

  Environment for teaching "Financial Engineering and Computational Finance". Managing financial time series objects.
  Version: 3022.101 | Last change: 2016-08-10 17:26:35+02 | Rev.: 6017
  Download: linux(.tar.gz) | windows(.zip) | Build status: Current | Stable Release: Get timeSeries 3022.101.2 from CRAN
  R install command: install.packages("timeSeries", repos="http://R-Forge.R-project.org")
 
Logs:  
Package build: Source package (Linux x86_64) Windows binary (x86_64/i386)
Package check: Linux x86_64 (patched) | Linux x86_64 (devel) Windows (patched) | Windows (devel)

 

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