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:
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R install command:
install.packages("BLCOP", repos="http://R-Forge.R-project.org") | |
DistributionUtils | Distribution Utilities |
Utilities are provided 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: 0.6-2 | Last change: 2025-04-01 03:02:45+02 | Rev.: 6526 | |
Download:
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R install command:
install.packages("DistributionUtils", repos="http://R-Forge.R-project.org") | |
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:
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R install command:
install.packages("FKF", repos="http://R-Forge.R-project.org") | |
GeneralizedHyperbolic | The Generalized Hyperbolic Distribution |
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: 0.8-7 | Last change: 2025-04-01 03:03:38+02 | Rev.: 6527 | |
Download:
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R install command:
install.packages("GeneralizedHyperbolic", repos="http://R-Forge.R-project.org") | |
HyperbolicDist | The Hyperbolic Distribution |
Maintenance has been discontinued for this package. 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: 0.6-5 | Last change: 2023-11-26 12:11:33+01 | Rev.: 6447 | |
Download:
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R install command:
install.packages("HyperbolicDist", repos="http://R-Forge.R-project.org") | |
NormalLaplace | The Normal Laplace Distribution |
Description: Functions for the normal Laplace distribution. Currently, it provides limited functionality. Density, distribution and quantile functions, random number generation, and moments are provided. | |
Version: 0.3-2 | Last change: 2025-04-01 03:04:48+02 | Rev.: 6528 | |
Download:
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R install command:
install.packages("NormalLaplace", repos="http://R-Forge.R-project.org") | |
Rdonlp2 | Rmetrics - 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: 3042.11 | Last change: 2017-11-13 21:33:25+01 | Rev.: 6080 | |
Download:
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R install command:
install.packages("Rdonlp2", repos="http://R-Forge.R-project.org") | |
Rnlminb2 | Rmetrics - 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: 3042.11 | Last change: 2017-11-13 20:21:47+01 | Rev.: 6078 | |
Download:
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R install command:
install.packages("Rnlminb2", repos="http://R-Forge.R-project.org") | |
Rsocp | Rmetrics - 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: 4021.3 | Last change: 2022-07-25 14:07:08+02 | Rev.: 6256 | |
Download:
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R install command:
install.packages("Rsocp", repos="http://R-Forge.R-project.org") | |
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: 0.4-2 | Last change: 2023-11-26 12:14:22+01 | Rev.: 6449 | |
Download:
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R install command:
install.packages("SkewHyperbolic", repos="http://R-Forge.R-project.org") | |
VarianceGamma | The Variance Gamma Distribution |
Provides functions for the variance gamma distribution. 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 parameterizations for the variance gamma distribution. | |
Version: 0.4-2 | Last change: 2023-11-26 12:15:13+01 | Rev.: 6450 | |
Download:
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R install command:
install.packages("VarianceGamma", repos="http://R-Forge.R-project.org") | |
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:
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R install command:
install.packages("XMLRPC", repos="http://R-Forge.R-project.org") | |
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:
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R install command:
install.packages("fACD", repos="http://R-Forge.R-project.org") | |
fArma | Rmetrics - Modelling ARMA Time Series Processes |
Modelling ARMA Time Series Processes. | |
Version: 4021.82 | Last change: 2022-07-25 15:33:40+02 | Rev.: 6257 | |
Download:
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R install command:
install.packages("fArma", repos="http://R-Forge.R-project.org") | |
fAsianOptions | Rmetrics - EBM and Asian Option Valuation |
Provides functions for pricing and valuating Asian Options together with tools for analyzing and modeling Exponential Brownian Motion (EBM). | |
Version: 4021.83 | Last change: 2022-07-26 19:08:04+02 | Rev.: 6258 | |
Download:
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R install command:
install.packages("fAsianOptions", repos="http://R-Forge.R-project.org") | |
fAssets | Rmetrics - Analysing and Modelling Financial Assets |
A collection of functions to manage, to investigate and to analyze data sets of financial assets from different points of view. | |
Version: 4023.85.9000 | Last change: 2024-01-14 11:03:23+01 | Rev.: 6474 | |
Download:
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R install command:
install.packages("fAssets", repos="http://R-Forge.R-project.org") | |
fBasics | Rmetrics - Markets and Basic Statistics |
Provides a collection of functions to explore and to investigate basic properties of financial returns and related quantities. The covered fields include techniques of explorative data analysis and the investigation of distributional properties, including parameter estimation and hypothesis testing. Even more there are several utility functions for data handling and management. | |
Version: 4041.97 | Last change: 2025-03-17 11:58:30+01 | Rev.: 6518 | |
Download:
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R install command:
install.packages("fBasics", repos="http://R-Forge.R-project.org") | |
fBonds | Rmetrics - Pricing and Evaluating Bonds |
It implements the Nelson-Siegel and the Nelson-Siegel-Svensson term structures. | |
Version: 4021.79 | Last change: 2022-07-27 21:06:43+02 | Rev.: 6263 | |
Download:
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R install command:
install.packages("fBonds", repos="http://R-Forge.R-project.org") | |
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:
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R install command:
install.packages("fCertificates", repos="http://R-Forge.R-project.org") | |
fCopulae | Rmetrics - Bivariate Dependence Structures with Copulae |
Provides a collection of functions to manage, to investigate and to analyze bivariate financial returns by Copulae. Included are the families of Archemedean, Elliptical, Extreme Value, and Empirical Copulae. | |
Version: 4022.85 | Last change: 2023-01-03 11:58:29+01 | Rev.: 6360 | |
Download:
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R install command:
install.packages("fCopulae", repos="http://R-Forge.R-project.org") | |
fEcofin | Rmetrics - Economic and Financial Data Sets |
Economic and Financial Data Sets. | |
Version: 4021.79 | Last change: 2022-07-25 13:45:08+02 | Rev.: 6254 | |
Download:
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R install command:
install.packages("fEcofin", repos="http://R-Forge.R-project.org") | |
fExoticOptions | Rmetrics - Pricing and Evaluating Exotic Option |
Provides a collection of functions to evaluate barrier options, Asian options, binary options, currency translated options, lookback options, multiple asset options and multiple exercise options. | |
Version: 4021.81 | Last change: 2022-07-26 19:08:04+02 | Rev.: 6258 | |
Download:
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R install command:
install.packages("fExoticOptions", repos="http://R-Forge.R-project.org") | |
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:
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R install command:
install.packages("fExpressCertificates", repos="http://R-Forge.R-project.org") | |
fExtremes | Rmetrics - Modelling Extreme Events in Finance |
Provides functions for analysing and modelling extreme events in financial time Series. The topics include: (i) data pre-processing, (ii) explorative data analysis, (iii) peak over threshold modelling, (iv) block maxima modelling, (v) estimation of VaR and CVaR, and (vi) the computation of the extreme index. | |
Version: 4032.84 | Last change: 2023-12-21 20:31:37+01 | Rev.: 6463 | |
Download:
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R install command:
install.packages("fExtremes", repos="http://R-Forge.R-project.org") | |
fGarch | Rmetrics - Autoregressive Conditional Heteroskedastic Modelling |
Analyze and model heteroskedastic behavior in financial time series. | |
Version: 4040.92.9000 | Last change: 2025-03-17 12:17:30+01 | Rev.: 6520 | |
Download:
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R install command:
install.packages("fGarch", repos="http://R-Forge.R-project.org") | |
fImport | Rmetrics - Importing Economic and Financial Data |
Provides a collection of utility functions to download and manage data sets from the Internet or from other sources. | |
Version: 4041.88 | Last change: 2024-09-20 10:08:47+02 | Rev.: 6500 | |
Download:
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R install command:
install.packages("fImport", repos="http://R-Forge.R-project.org") | |
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:
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R install command:
install.packages("fMarkovSwitching", repos="http://R-Forge.R-project.org") | |
fMultivar | Rmetrics - Modeling of Multivariate Financial Return Distributions |
A collection of functions inspired by Venables and Ripley (2002) | |
Version: 4031.84 | Last change: 2023-07-07 19:26:09+02 | Rev.: 6419 | |
Download:
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R install command:
install.packages("fMultivar", repos="http://R-Forge.R-project.org") | |
fNonlinear | Rmetrics - Nonlinear and Chaotic Time Series Modelling |
Provides a collection of functions for testing various aspects of univariate time series including independence and neglected nonlinearities. Further provides functions to investigate the chaotic behavior of time series processes and to simulate different types of chaotic time series maps. | |
Version: 4041.82 | Last change: 2024-09-04 01:08:38+02 | Rev.: 6496 | |
Download:
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R install command:
install.packages("fNonlinear", repos="http://R-Forge.R-project.org") | |
fOptions | Rmetrics - Pricing and Evaluating Basic Options |
Provides a collection of functions to valuate basic options. This includes the generalized Black-Scholes option, options on futures and options on commodity futures. | |
Version: 4021.87 | Last change: 2022-07-25 11:12:28+02 | Rev.: 6251 | |
Download:
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R install command:
install.packages("fOptions", repos="http://R-Forge.R-project.org") | |
fPortfolio | Rmetrics - Portfolio Selection and Optimization |
A collection of functions to optimize portfolios and to analyze them from different points of view. | |
Version: 4023.84.9000 | Last change: 2024-01-14 10:56:54+01 | Rev.: 6473 | |
Download:
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R install command:
install.packages("fPortfolio", repos="http://R-Forge.R-project.org") | |
fRegression | Rmetrics - Regression Based Decision and Prediction |
A collection of functions for linear and non-linear regression modelling. It implements a wrapper for several regression models available in the base and contributed packages of R. | |
Version: 4021.83.9000 | Last change: 2024-01-14 10:14:38+01 | Rev.: 6472 | |
Download:
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R install command:
install.packages("fRegression", repos="http://R-Forge.R-project.org") | |
fTrading | Rmetrics - Trading and Rebalancing Financial Instruments |
A collection of functions for trading and rebalancing financial instruments. It implements various technical indicators to analyse time series such as moving averages or stochastic oscillators. | |
Version: 4021.81 | Last change: 2022-07-27 21:11:24+02 | Rev.: 6264 | |
Download:
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R install command:
install.packages("fTrading", repos="http://R-Forge.R-project.org") | |
fUnitRoots | Rmetrics - Modelling Trends and Unit Roots |
Provides four addons for analyzing trends and unit roots in financial time series: (i) functions for the density and probability of the augmented Dickey-Fuller Test, (ii) functions for the density and probability of MacKinnons unit root test statistics, (iii) reimplementations for the ADF and MacKinnon Test, and (iv) an urca Unit Root Test Interface for Pfaffs unit root test suite. | |
Version: 4040.81 | Last change: 2025-03-17 12:21:16+01 | Rev.: 6521 | |
Download:
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R install command:
install.packages("fUnitRoots", repos="http://R-Forge.R-project.org") | |
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:
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R install command:
install.packages("ghyp", repos="http://R-Forge.R-project.org") | |
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:
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R install command:
install.packages("gldist", repos="http://R-Forge.R-project.org") | |
randsobolfortran | Sobol Sequence |
Provide the Sobol sequence based on Diethelm Wuertzs Fortran code. | |
Version: 1.0.0 | Last change: 2022-08-16 08:13:13+02 | Rev.: 6283 | |
Download:
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R install command:
install.packages("randsobolfortran", repos="http://R-Forge.R-project.org") | |
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 ( | |
Version: 2.0.6 | Last change: 2024-10-24 15:30:15+02 | Rev.: 6506 | |
Download:
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R install command:
install.packages("randtoolbox", repos="http://R-Forge.R-project.org") | |
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, see | |
Version: 0.10-11 | Last change: 2024-10-18 09:07:17+02 | Rev.: 6504 | |
Download:
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R install command:
install.packages("rngWELL", repos="http://R-Forge.R-project.org") | |
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:
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R install command:
install.packages("rngWELLOriginal", repos="http://R-Forge.R-project.org") | |
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:
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R install command:
install.packages("schwartz97", repos="http://R-Forge.R-project.org") | |
stabledist | Stable Distribution Functions |
Density, Probability and Quantile functions, and random number generation for (skew) stable distributions, using the parametrizations of Nolan. | |
Version: 0.7-2 | Last change: 2024-08-14 10:50:33+02 | Rev.: 6491 | |
Download:
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R install command:
install.packages("stabledist", repos="http://R-Forge.R-project.org") | |
timeDate | Rmetrics - Chronological and Calendar Objects |
The timeDate class fulfils the conventions of the ISO 8601 standard as well as of the ANSI C and POSIX standards. Beyond these standards it provides the "Financial Center" concept which allows to handle data records collected in different time zones and mix them up to have always the proper time stamps with respect to your personal financial center, or alternatively to the GMT reference time. It can thus also handle time stamps from historical data records from the same time zone, even if the financial centers changed day light saving times at different calendar dates. | |
Version: 4041.110.9000 | Last change: 2025-03-20 09:21:31+01 | Rev.: 6525 | |
Download:
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R install command:
install.packages("timeDate", repos="http://R-Forge.R-project.org") | |
timeSeries | Financial Time Series Objects (Rmetrics) |
S4 classes and various tools for financial time series: Basic functions such as scaling and sorting, subsetting, mathematical operations and statistical functions. | |
Version: 4041.111.9000 | Last change: 2025-03-17 12:40:48+01 | Rev.: 6522 | |
Download:
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R install command:
install.packages("timeSeries", repos="http://R-Forge.R-project.org") | |
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