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1 : wuertz 8 <HTML>
2 :     <HEAD>
3 :     <TITLE>Rmetrics::CHANGES</TITLE>
4 :     </HEAD>
5 :     <BODY BGCOLOR="WHITE">
6 : maechler 1 <P>
7 :     <B><FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="7">
8 :     <FONT COLOR="#7F0000">Rmetrics</FONT></FONT></FONT></B>
9 :     <FONT FACE="Arial,Helvetica,Monaco"><B><FONT SIZE="3">
10 :     <FONT COLOR="#7F0000">Updates, Changes, and Enhancements</FONT></FONT></FONT>
11 :     </B></P>
12 :    
13 :     <P ALIGN=CENTER>
14 :     <HR ALIGN=CENTER WIDTH="100%" SIZE="2">
15 :     </P>
16 :    
17 :     <P>
18 :     <B><FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2">
19 : wuertz 8 2005-12-18 Built 221.10065</FONT></FONT>
20 : maechler 1 </B></P>
21 :    
22 :    
23 :     <PRE>
24 :    
25 :     This file reports the most recent updates, changes and enhancements made
26 :     to the packages included in the Rmetrics environment. The packages are:
27 :    
28 :     fBasics, fCalendar, fSeries, fMultivar, fExtremes, fOptions, fPortfolio
29 :    
30 : wuertz 8 ________________________________________________________________________________
31 :     Rmetrics VERSION 221.10065
32 : maechler 1
33 : wuertz 8 2005-02-19 Rmetrics
34 :     Rmetrics has been compiled for R Version 2.2.1
35 :    
36 :     2006-02-12 fCalendar
37 :     The explicit setting to timezone GMT is no longer necessary.
38 :    
39 :     2006-02-12 fSeries
40 :     The long awaites GARCH functions are now available for simulating,
41 :     modelling, and forecasting GARCH and APARCH time series processes.
42 :    
43 :     +++ many other smaller improvements and fixings ...
44 :    
45 : maechler 1 ________________________________________________________________________________
46 : wuertz 8 Rmetrics VERSION 220.10064
47 :    
48 :     2005-12-01 fSeries: GarchModelling
49 :     Major improvements could be achieved for the fSeries Package for GARCH
50 :     Modelling, although the GARCH modelling functions are still in an
51 :     experimental state and not yet finished.
52 :    
53 :     2005-12-01 fCalendar: timeDate and timeSeries
54 :     A paper was submitted to JSS describing 'timeDate' and 'timeSeries'
55 :     Classes. A draft can be downloaded from www.rmetrics.org.
56 :    
57 :     2005-12-01
58 :     Updates of the following files (if it was necessary) are now available:
59 :     CHANGES.html, COPYING.html, COPYRIGHT.html, FAQ.html, README.html
60 :     DocFactSheet.pdf, DocRefCard.pdf, DocRmetrics.pdf
61 :    
62 :     ________________________________________________________________________________
63 : maechler 1 Rmetrics VERSION 220.10063
64 :     Rmetrics VERSION 211.10062
65 :    
66 :     2005-11-02
67 : wuertz 8 This is a preliminary version with smaller modifications, updates, and
68 :     additions compared to Rmetrics 201.0061.
69 :    
70 :     Not yet updated is the documentation included in DocFactSheet.pdf
71 :     Doc, DocRefcard.pdf, and DocRmetrics.pdf. These documents have Version
72 :     211.10062. This update is under progress.
73 :    
74 :     The major effort was invested to make under both environments MS Windows
75 :     and Linux Rmetrics running based on the new compiler suite with
76 :     gfortran. Please note, that I have done this move for Rmetrics already
77 :     under MS Windows, although this is not yet done for R. The reason why
78 :     I have done this, is that I develop under MS Windows, and that I wan't
79 :     support two systems based on different compiler suites. The Mac Version
80 :     is not yet tested, but hopefully it will run without any problems.
81 :    
82 : maechler 1 ________________________________________________________________________________
83 :     Rmetrics VERSION 201.10061
84 :    
85 :     2005-07-25 fBasics: X1-BasicsData
86 :     A data set named 'usddem30u.csv' with high frequency USDDEM bid
87 :     and ask rates has been added.
88 :    
89 :     2005-07-25 fBasics: B4-DistributionFits
90 :     A function named 'stableFit' for the estimation of the distributional
91 :     parameters of the stable distribution has been added.
92 :    
93 :     2005-07-25 fBasics: A1-WebDataImport
94 :     A function named 'forecastsImport' for the download of time series
95 :     data from www.forecasts.org has been added.
96 :    
97 :     2005-07-22 fBasics: B4-StableDistribution
98 :     A function named 'stableFit' for the estimation of the distributional
99 :     parameters of the stable distribution has been added.
100 :    
101 :     2005-07-04 fMultivar: A1-BivariateTools
102 :     Density functions for the bivariate Logistic, Laplace, original
103 :     Kotz, and Exponential Power Distribution have bee added.
104 :    
105 :     2005-06-19 fSeries: X3-TsayData
106 :     The data sets from Ruey Tsay's book "Analysis of Financial Time
107 :     Series" have been added.
108 :    
109 :     2005-06-18 fMultivar: A0-BivariateTools
110 :     Bivariate normal and Student-t Distribution are now available
111 :     in this chapter. They are named "[dpr]norm2d" and "[dpr]t2d".
112 :    
113 :     2005-06-18 fMultivar: A2-MultivariateDistribution
114 :     This chapter has been moved from "fPortfolio" to "fMultivar".
115 :    
116 :     2005-06-10 fBasics: A0-BasicPlots
117 :     A grey palette named 'greyPal' has been added, like the 'rainbow'
118 :     palette for colors. Additionally internal functions .hex.to.dec
119 :     and .dec.to.hex are availalble changing number coding between
120 :     heximal and decimal number systems.
121 :    
122 :     2005-06-10 fMultivar: A0-BivariateTools
123 :     A new chapter has been added with three new functions for bivariate
124 :     data modelling. The functions include a 2D grid generator, a kernel
125 :     density estimator and a histogram counter.
126 :    
127 :     2005-06-06 fSeries: xmpJarqueBeraTest
128 :     Examples for the finite sample Jarque Bera Lagrange and
129 :     augmented Lagrange multiplier tests have been added.
130 :    
131 :     2005-06-06 fSeries: C2-UnitrootDistribution
132 :     Functions for the computation of the probability and quantiles
133 :     for the Augmented Dickey Fuller test have been added.
134 :    
135 :     2005-06-06 fBasics: C2-OneSampleTests
136 :     Functions for the finite sample Jarque Bera Lagrange and
137 :     augmented Lagrange multiplier tests have been added.
138 :    
139 :     2005-06-06 fBasics: C1-TestsClass
140 :     Utility functions for plotting and interpolating finite sample
141 :     test statistics from tables have been added.
142 :    
143 :     + many other smaller improvements and fixings ...
144 :    
145 :     ________________________________________________________________________________
146 :     Rmetrics VERSION 201.10060
147 :    
148 :     2005-05-12 fSeries: xmpGarchpqModelling
149 :     An example file has been added which shows step by step how to
150 :     program functions for Garch(p,q) modelling, including functions
151 :     for simulation, parameter estimation and forecasting.
152 :    
153 :     2005-05-12 fSeries: A3-GarchOxModelling
154 :     Ox Interface for GARCH modelling has been updated to version
155 :     G@ARCH 4.0.
156 :    
157 :     2005-05-12 fSeries: A1-ArmaModelling
158 :     A new optional argument named "rseed" added to function "armaSim".
159 :     This allows to set the random number seed.
160 :    
161 :     2005-05-04 fOptions: E2-GammaFunctions
162 :     Bug in "erf" removed.
163 :    
164 :     2005-05-02 fBasics: A2-BasicStatistics
165 :     The function "stdev" computes the standard deviation for a vector
166 :     or matrix and was introduced for SPlus compatibility. Under R use
167 :     the function "sd".
168 :    
169 :     2005-05-02 fMultivar: B1-MatrixAddon:
170 :     A function named "pdl" has been added which returns a regressor
171 :     matrix suitable for polynomial distributed lags.
172 :    
173 :     2005-05-02 fMultivar: B1-MatrixAddon:
174 :     A function named "tslag" has beeen added which returns a lagged/led
175 :     vector or matrix for given time series data.
176 :    
177 :     2005-05-02 fBasics: A2-BasicStatistics
178 :     The function "basicStats" now allows also for matrix, data frame
179 :     and timeSeries inputs.
180 :    
181 :     2005-04-28 fCalendar: C1-timeSeriesClass
182 :     The time Series class got a new slot named "@recordIDs". The
183 :     slot is represented by a data.frame whcih can be used for
184 :     data record identification. This may be useful for FX data
185 :     sets to name the contributor, to keep delays from the feed
186 :     or other information. For Futures this may for example name
187 :     the futures contract.
188 :    
189 :     2005-04-28 fCalendar: C1-timeSeriesClass
190 :     The arguments named "colNames" have been changed to "units",
191 :     so that the naming of columns becomes unique in all 'timeSeries'
192 :     functions. Some time series functions got an additional
193 :     "units" argument.
194 :    
195 :     2005-04-27 fCalendar: A1-timeDateClass
196 :     New functions for objects of class 'timeDate' have been added:
197 :     "isWeekday", "isWeekend", "isBizday", "weekDay".
198 :    
199 :     2005-04-27 fCalendar: A1-timeDateClass
200 :     The ISO-8601 midnight standard has been implemented. Now
201 :     "2005-01-01 24:00:00" is a valid date/time string.
202 :    
203 :     2005-04-27 fCalendar: A1-timeDateClass
204 :     A bug in the ordering of dates for unordered 'timeDate' objects
205 :     has been removed.
206 :    
207 :     + many other smaller improvements and fixings ...
208 :    
209 :     ________________________________________________________________________________
210 :     Rmetrics VERSION 201.10059
211 :    
212 :     2005-04-18 released
213 :    
214 :     2005-04-05 fSseries: A3-LongMemoryModeling
215 :     Nine functions have been added to estimate the self-similarity
216 :     or Hurst exponent from a long-range dependent time series process
217 :    
218 :     2005-04-03 fSseries: A3-LongMemoryModeling
219 :     Three functions have been add to simulate fractional Gaussian
220 :     noise.
221 :    
222 :     2005-04-03 fSseries: A3-LongMemoryModeling
223 :     Five functions have been add to simulate fractional Brownian
224 :     motion.
225 :    
226 :     2005-03-25 fBasics
227 :     The basics package a been splitted into two parts. All the time, date
228 :     and calendar functions have been moved into a new package named
229 :     fCalender.
230 :    
231 :     2005-03-23 fPortfolio
232 :     The portfolio package has been started. Topics about multivariate
233 :     distributions, assets modelling, drawdown statistics, value-at-risk
234 :     modelling, Markowitz portfolio, two assets portfolio and data sets
235 :     have been added.
236 :    
237 :     2005-03-21 fPortfolio: A1-MultivariateDistribution
238 :     This is a collection and description of functions to compute
239 :     multivariate densities and probabilities from skew normal and
240 :     skew Student-t distribution functions. Furthermore, multivariate
241 :     random daviates can be generated, and for multivariate data,
242 :     the parameters of the underlying distribution can be estimated
243 :     by the maximum log-likelihood estimation.
244 :    
245 :     2005-03-20 fPortfolio: A2-AssetsModelling
246 :     This is a collection and description of functions which generate
247 :     multivariate artficial data sets of assets, which fit the parameters
248 :     to a multivariate normal, skew normal, or (skew) Student-t distribution
249 :     and which compute some benchmark statistics. In addition a function
250 :     is provided which allows for the selection and clustering of individual
251 :     assets from portfolios using hierarchical and k-means clustering
252 :     approaches.
253 :    
254 :     2005-03-19 fPortfolio: A3-DrawdownStatistics
255 :     This is a collection and description of functions which compute
256 :     drawdown statistics. Included are density, distribution function,
257 :     and random generation for the maximum drawdown distribution. In
258 :     addition the expectation of drawdowns for Brownian motion can be
259 :     computed.
260 :    
261 :     2005-03-18 fPortfolio: B1-VaRModelling
262 :     This is a collection and description of functions to compute
263 :     Value-at-Risk and related risk measures for a portfolio of assets.
264 :     In addition utility functions are available to compute the maximum
265 :     loss, to calculate the total return, and to plot a histogram of
266 :     the total return.
267 :    
268 :     2005-03-17 fPortfolio: B2-MarkowitzPortfolio
269 :     This is a collection and description of functions which investigate
270 :     the efficient frontier for a Markowitz portfolio from a given return
271 :     series \code{x} in the mean-variance sense when short selling is
272 :     forbidden. Tangency, equal weigths, and Monte Carlo portfolios can
273 :     also be evaluated.
274 :    
275 :     2005-03-14 fPortfolio: B3-TwoAssetsPortfolio
276 :     This is a collection and description of functions which investigate
277 :     the efficient frontier for a two assets portfolio from a given return
278 :     series \code{x} in the mean-variance and CVaR sense when short selling
279 :     is forbidden.
280 :    
281 :     2005-03-12 fSeries: A1-ArmaModelling
282 :     Two new functions have been added. "armaToeplitz" allows to compute
283 :     the covariance matrix from autocovariances, and "armaFischer"
284 :     computes the Fischer information matrix for an ARMA time series
285 :     process.
286 :    
287 :     2005-03-03 fMultivar: X1-MultivarData
288 :     Four new data sets have been added for the examples: 'CobbDouglas' and
289 :     'logCobbDouglas' data for the Cobb-Douglas productivity function as
290 :     used in exaple 7.10 in the book of D.N. Gujarati; 'Greene4Table131'
291 :     US yearly investment data as listed in the book of W. Greene, 'pr45'
292 :     sales and durable goods data as used in the book of R.S. Pyndick and
293 :     D.L. Rubinfeld.
294 :    
295 :     2005-03-02 fMultivar: B1-MatrixAddon
296 :     Functions vec and vech have been added, that stack a matrix and the
297 :     lower triangle matrix.
298 :    
299 :     2005-03-02 fBasics: HyperbolicDistribution
300 :     Functions for the computation of the generalized hyperbolic distribution
301 :     have been added: dgh, pgh, qgh, and rgh.
302 :    
303 :     2005-02-28 fSeries: GarchDistributions
304 :     The three chapters C2-SkewNormalDistribution, C2-SkewNormalDistribution,
305 :     C2-SkewGedDistribution have been merged to one, named C2-GarchDistributions.
306 :     C5-GarchDistributionFits has thus been renamed to C5-GarchDistributionFits.
307 :    
308 :     2005-01-22 fBasics: HyperbolicDistribution
309 :     Functions to compute probability, density, quantiles and to generate
310 :     random deviates in 2nd, 3rd and 4th parameterization for the hyperbolic
311 :     distribution have been added. Furthermore, functions have been
312 :     implemented to compute the hyperbolic mode in all four parameterizations.
313 :    
314 :     2005-01-21 fBasics: StableDistribution
315 :     Functions to compute probability, density, quantiles and to generate
316 :     random deviates in "S1" and "S2" parameterizations for the stable
317 :     distribution have been added. Furthermore, afunction have been
318 :     implemented to compute the stable mode.
319 :    
320 :     2004-12-12 fMultivar: MatrixAddon
321 :     A function to compute the exponential of a square matrix has been
322 :     added.
323 :    
324 :     2004-11-17 fSeries: fMultivar
325 :     The package 'fSeries' has become too "fat", so I partitioned it into
326 :     twp parts: 'fSeries' and 'fMultivar'. The first part now holds functions
327 :     for the analysis of time series including ARMA Modelling, GARCH
328 :     Modelling and Hypothesis Testing, the second part holds now functions
329 :     for time series anlaysis with regression methods and functions
330 :     for the technical anlaysis including rolling analysis and benchmarks.
331 :    
332 :     2004-11-16 fBasics: B4-ClassicalTests/B5-StylizedFacts
333 :     The script file "B4-ClassicalTests" has become too big, so we divided
334 :     them into three new parts named "B4-TestsClass", "B5-OneSampleTests",
335 :     and "B6-TwoSampleTests". The script file "B5-StylizedFacts" has been
336 :     renamed "B7-StylizedFacts". This information is given for those who
337 :     are interested in the source code and internal structure of the Rmetrics
338 :     packages.
339 :    
340 :     2004-11-14 fBasics: ClassicalTests
341 :     We made some changes on the classical test functions. We have
342 :     introduced an S4 object of class "fHTEST" which describes the
343 :     classical tests, we have added the usual arguments "title" and
344 :     "description" to the argument list, and the output of the test
345 :     now gives more information than the typical printing of R's S3
346 :     object "htest".
347 :    
348 :     2004-11-13 fBasics: SPlusCompatibility
349 :     These are R functions which we made available for SPlus, including
350 :     - General Functions: strsplit, match.fun, cov, forwardsolve, %x%,
351 :     data, NROW, NCOL, sd, nlm, optim, download.file.
352 :     - Tests: bartlett.test, fligner.test, kruskal.test.
353 :     These functions may be helpful for porting Rmetrics functions
354 :     to SPlus.
355 :    
356 :     2004-11-11 fSeries: garchSim
357 :     The function "garchSim" was not working properly when not all model
358 :     parameters where explicitely specified in the argument list.
359 :     Missing parameters are now added correctly. [Note, that the "garch"
360 :     functions will be replaced soon by a new completely rewritten
361 :     package in the near future.]
362 :    
363 :     2004-10-29 fExtremes: gpdFit
364 :     The residual statistics and the information about threshold value
365 :     and the number of exceedances have been added to the summary report.
366 :     Now, beside numeric vectors also univariate time series objects
367 :     are accepted as input arguments.
368 :    
369 :     2004-10-29 fExtremes: MdaPlots
370 :     Now, beside numeric vectors also univariate time series objects
371 :     are accepted as input arguments.
372 :    
373 :     2004-10-29 fExtremes: gevFit
374 :     The residual statistics has been added to the summary report.
375 :     Now, beside numeric vectors also univariate time series objects
376 :     are accepted as input arguments.
377 :    
378 :     2004-10-29 fExtremes: gevglmFit
379 :     The residual statistics has been added to the summary report.
380 :     Now, beside numeric vectors also univariate time series objects
381 :     are accepted as input arguments.
382 :    
383 :     2004-10-27 fExtremes: data/*
384 :     The "bmw", "danish" and "siemens" data are now 2 column data frame
385 :     objects with the first column as ISO-8601 character dates %Y-%m-%d
386 :     and the second column as numeric values. Formerly they were numeric
387 :     vectors with POSIX date attributes. Now these data records can
388 :     easily be transformed to 'timeSeries' objects and used in the same
389 :     way as under SPlus.
390 :    
391 :     2004-10-16 fOptions: xmpfOptions
392 :     Bug removed. Internal function 'readf.fOptions00Index' corrected
393 :     as '.readf.fOptions00Index'. Now the fOptions examples should work.
394 :    
395 :     2004-10-16 fOptions: BesselFunctions
396 :     Modified Bessel Functions of the first and second kind for integer
397 :     order together with their derivatives have been added. The functions
398 :     are entirely written in S.
399 :    
400 :     2004-10-14 fOptions: EBMDistribution
401 :     Examples have been added to the help file. In addition a bug was
402 :     fixed: An internal used variable for the computation of the second
403 :     derivative of the reciprocal Gamma and Johnson Type I distribution
404 :     was missing.
405 :    
406 :     + many other smaller improvements and fixings ...
407 :    
408 :     ________________________________________________________________________________
409 :     Rmetrics VERSION 200.10058
410 :    
411 :    
412 :     2004-10-11 Rmetrics
413 :     The new version is now proofed to be conform with R Version 2.0 for
414 :     all its functions.
415 :    
416 :     2004-10-03 fSeries: ArmaStatistics
417 :     The functions from the "ArmaStatisticts" collection have been merged
418 :     with the collection of "ArmaModelling" functions.
419 :    
420 :     2004-10-01 Rmetrics:
421 :     The naming of the source and manual page files follows now a unique
422 :     naming convention.
423 :    
424 :     2004-09-27 fSeries: demo/funSeries
425 :     Three new functions have been added to the "funSeries.R" file in the
426 :     demo directory: "tslag" - computes lagged or leading vector/matrix
427 :     of selected order(s), "pdl" - creates a regressor matrix for
428 :     polynomial distributed lags, and "disaggregate" - disaggregates
429 :     a vector or time series from low to high frequency.
430 :    
431 :     2004-09-21 fBasics: BasicStatistics
432 :     All column and row statistics functions now allow for 'timeSeries'
433 :     objects and any other 'rectangular' objects which can be transformed
434 :     to a matrix as input.
435 :    
436 :     2004-09-19 fSeries: RollingAnalysis
437 :     All rolling anslysis functions now allow for univariate 'timeSeries'
438 :     objects and any other objects which can be transformed to a vector
439 :     as input.
440 :    
441 :     2004-09-19 fSeries: TseriesTests
442 :     All test functions now allow for univariate 'timeSeries' objects and
443 :     any other objects which can be transformed to a vector as input.
444 :    
445 :     2004-09-19 fBasics: DistributionFits
446 :     All fitting functions now allow for univariate 'timeSeries' objects
447 :     and any other objects which can be transformed to a vector as input.
448 :    
449 :     2004-09-19 fBasics: StylizedFacts
450 :     All stylized facts functions now allow for univariate 'timeSeries'
451 :     objects and any other objects which can be transformed to a vector
452 :     as input.
453 :    
454 :     2004-09-19 fBasics: ClassicalTests
455 :     All test functions now allow for univariate 'timeSeries' objects and
456 :     any other objects which can be transformed to a vector as input.
457 :    
458 :     2004-09-18 fOptions: EBMDistributions, GammaFunctions, HypergeometricFunctions
459 :     Three new Chapters have been introduced with functions to compute
460 :     distributions, the error, gamma and related functions, and the
461 :     confluent hypergeometric functions. These functions are useful in the
462 :     field of Exponential Brownian Motion and for the valuation of
463 :     Asian Options. The demo file "demo/funOptions.R" where the functions
464 :     where originally listed is now obsolete.
465 :    
466 :     2004-09-14 fSeries: UnitrootDistribution
467 :     Two functions to compute the cumulative probability, punitroot,
468 :     and the quantiles, qunitroot, of the unit root test statistics
469 :     have been added. The functions are based on the Fortran routine
470 :     and the tables published by J.G. McKinnon 1988.
471 :    
472 :     2004-09-10 fSeries: black.ts.csv
473 :     A data file which contains real monthly stock return data from January
474 :     1978 to December 1987 which are constructed from Berndt's (1991)
475 :     data set have been added.
476 :    
477 :     2004-09-10 fSeries: LongMemoryModelling
478 :     Functions to simulate the long memory behaviour of an univariate
479 :     time series process have been added. Inclided are Beran's,
480 :     Durbin's, and Paxson's method to generate Fractional Gaussian
481 :     Noise.
482 :    
483 :     2004-09-08 fSeries: klein.csv
484 :     A data file which contains data for Klein's (1950) simple econometric
485 :     model of the US economy has been added.
486 :    
487 :     2004-09-08 fSeries: xmpZWChapter03
488 :     Demo files with examples from Chapter 3 of the book of Zivot and
489 :     Wang "Modeling Financial Time Series with Splus" have been added.
490 :    
491 :     2004-09-03 fSeries: RollingAnalysis
492 :     Caused by a typing error the function 'rollMean' failed when the
493 :     argument 'trim' was set to FALSE. This has been corrected.
494 :    
495 :     2004-09-03 fSeries: EquationsModelling
496 :     We have added functions to perform fits of systems of regression
497 :     equations. The underlying functions are those from the contributed
498 :     R-package 'systemfit' written by Jeff D. Hamann and Arne Henningsen.
499 :     'systemfit' offers functions for fitting linear structural equations
500 :     using Ordinary Least Squares (OLS), Weighted Least Squares (WLS),
501 :     Seemingly Unrelated Regression (SUR), Two-Stage Least Squares (2SLS),
502 :     Weighted Two-Stage Least Squares (W2SLS) or Three-Stage Least
503 :     Squares (3SLS). The wrapper fullfills the naming conventions of
504 :     Rmetrics, returns a S4 objects, and allows for 'timeSeries' objects
505 :     as input. In addition a S-Plus like Finmetrics function 'SUR' is
506 :     made available.
507 :    
508 :     2004-09-03 fSeries: xmpEqnsGreenfeld
509 :     An example to estimate Grunfeld's Model Data with OLS and SUR was
510 :     added. Different stock prices often move in the same direction at
511 :     a given point in time. The SUR technique may provide more efficient
512 :     estimates than OLS in this situation. The example was used by Zellner
513 :     in his classic. 1962 paper on seemingly unrelated regressions.
514 :    
515 :     2004-09-03 fSeries: kmenta.csv
516 :     A data file which contains partly contrived data from Kmenta (1986) has
517 :     been added, constructed to illustrate estimation of a simultaneous
518 :     equation models.
519 :    
520 :     2004-09-02 fBasics: HolidayCalendars
521 :     The function 'fjulian' got a new argument 'swap' making the old
522 :     one 'cc' obsolute. This change was inspired by the POSIX standard.
523 :     'swap' is an integer value which determines when dates without
524 :     the century specifications swap from the 19th to 20th century,
525 :     by default the value is 20, i.e. we swap 1920.
526 :    
527 :     2004-09-02 fBasics: WebImport
528 :     A new function named 'fredImport' has been added which allows for
529 :     downloading daily financial market data from the St. Louis FED.
530 :     The import functions got a new argument 'sep' which allows to
531 :     specify the field separator in the data file, usually an Excel
532 :     *.csv file. The default is a semicolon.
533 :    
534 :     2004-08-05 fSeries: DESCRIPTION
535 :     The package 'modreg' has been merged into 'stats', so we have
536 :     removed it from the dependency list in the description file.
537 :     This caused for Mac OSX operated system a failure.
538 :    
539 :     2004-08-05 fSeries: surex1.ts.csv
540 :     A data file has been added which contains monthly sampled exchange
541 :     rate spot returns and forward premium data ranging from March 1976 to
542 :     June 1996 for the following currencies: USD vs. CAD, DEM, FFR, ITL,
543 :     JPY and GBP.
544 :    
545 :     2004-07-07 fSeries: nelsonplosser.csv
546 :     The Nelson-Plosser data set containing the fourteen US economic time
547 :     series used by Nelson and Plosser in their seminal paper has been added.
548 :    
549 :     2004-07-07 fSeries: xmpAparchModelling
550 :     The four demos "xmpAparchInnovations", "xmpAparchSimulation",
551 :     "xmpAparchEstimation", and "xmpAparchNYSERES" have been merged
552 :     to one new demo named "xmpAparchModelling" to reduce a little bit
553 :     the large number of example files.
554 :    
555 :     2004-07-07 fSeries: xmpArmaModelling
556 :     The two demos "xmpArmaAnalysis", and "xmpArmaModelling", have been
557 :     merged to one new demo named "xmpArmaModelling" to reduce a little
558 :     bit the large number of example files.
559 :    
560 :     2004-07-07 fBasics: xmpImportInternet
561 :     The three demos "xmpImportYahoo", "xmpImportEconomagics", and
562 :     "xmpImportForecasts" have been merged to one new demo named
563 :     "xmpImportInternet" to reduce a little bit the large number of
564 :     example files.
565 :    
566 :     2004-07-07 fBasics: xmpXtsBusinessTime
567 :     The four demos "xmpXtsDailyWeeklyHists", "xmpXtsInterpolation",
568 :     "xmpXtsDeSeasonalization", and "xmpXtsDeVolatilization" have been
569 :     merged to one new demo named "xmpXtsBusinessTime" to reduce a
570 :     little bit the large number of example files.
571 :    
572 :     + many other smaller improvements and fixings ...
573 :    
574 :    
575 :     ________________________________________________________________________________
576 :     Rmetrics VERSION 1091.10057
577 :    
578 :    
579 :     2004-07-04 Rmetrics
580 :     The new version is now proofed to be Debian license conform
581 :     for all its functions.
582 :    
583 :     2004-07-04 FAQ
584 :     The FAQ file has been updated, now the FAQ's are providing more
585 :     information about Rmetrics.
586 :    
587 :     2004-07-04 fBasics/R
588 :     In function .FirstLib we set a timezone if none found in
589 :     environment variables or options, as suggested by Dirk Eddelbuettel,
590 :     thanks Dirk.
591 :    
592 :     2004-06-30 fExtremes/R
593 :     A new utility function named "gridVector" has been added which
594 :     creates all grid points from two vectors which span a rectangular
595 :     grid.
596 :    
597 :     2004-06-29 fOptions/demo
598 :     A new example file named "funDensitiesEBM.R" has been added
599 :     which adds some distributions and related functions which are
600 :     useful in the theory of exponential Brownian Motion.
601 :     The functions compute densities and probabilities for the
602 :     log-Normal distribution, the Gamma distribution, the
603 :     Reciprocal-Gamma distribution, and the Johnson Type-I
604 :     distribution. Functions are made available for the compution
605 :     of moments including the Normal, the log-Normal, the
606 :     Reciprocal-Gamma, and the Asian-Option Density. In addition
607 :     a function is given to compute numerically first and second
608 :     derivatives of a given function.
609 :    
610 :     2004-06-29 fOptions/demo
611 :     A new example file named "funSpecFunsEBM.R" has been added
612 :     with special mathematical functions which are used in the
613 :     theory of exponential Brownian Motion. The functions included
614 :     are: In Part I, the Error Function "erf", the Psi or Digamma
615 :     Function "Psi", the Incomplete Gamma Function "igamma", the
616 :     Gamma Function for complex arguments, and the Pochhammer Symbol
617 :     "Pochhammer". In Part II, the Confluent Hypergeometric Functions
618 :     of the 1st Kind and 2nd Kind "kummerM" and "kummerU", the
619 :     Whittaker Functions "whittakerM" and "whittakerW" and the
620 :     Hermite Polynomials "hermiteH"
621 :    
622 :     2004-06-29 fOptions/demo
623 :     A new example file named "xmpSpecFunsEBM.R" has been added
624 :     which shows how to use Gamma Functions, Confluent Hypergeometric
625 :     and related functions under R.
626 :    
627 :     2004-06-29 fSeries/R
628 :     New functions to fit the parameters by the maximum log-likelihood
629 :     method for the symmetric and skew Normal, Student-t with unit
630 :     variance, and generalized error distribution have been added.
631 :    
632 :     2004-06-28 fBasics/demo
633 :     A new example file "xmpImportForecasts.R" has been added including
634 :     a function named "forecastsImport" to download monthly financial
635 :     market data from the "www.forecasts.org" web site.
636 :    
637 :     2004-06-28 fBasics/R
638 :     A new function named "keystatsImport" has been added which
639 :     downloads key statistic and fundamental data for equities from
640 :     Yahoo's web site.
641 :    
642 :     2004-06-25 fBasics/R
643 :     The function "as.timeSeries" got two additional arguments which
644 :     allow to pass dimension names and the timeDate format in POSIX
645 :     notation to the returned "timeSeries" object.
646 :    
647 :     2004-06-25 fSeries/R
648 :     New functions "[dpqr]ged" and "[dpqr]sged" have been added which
649 :     compute density, distribution function, quantile function and
650 :     generate random variates for the symmetric and skew generalized
651 :     error distribution.
652 :    
653 :     2004-06-25 fSeries/R
654 :     New functions "[dpqr]std" and "[dpqr]sstd" have been added which
655 :     compute density, distribution function, quantile function and
656 :     generate random variates for the symmetric and skew Student-t
657 :     distribution with unit variance.
658 :    
659 :     2004-06-25 fSeries/R
660 :     New functions "[dpqr]snorm" have been added which compute density,
661 :     distribution function, quantile function and generate random
662 :     variates for the skew normal distribution.
663 :    
664 :     2004-06-25 fSeries/demo
665 :     A new example file "xmpDistTESTskew.R" has been added with
666 :     integration tests for the skew normal, for the skew Student-t
667 :     with unit variance, and for the skew GED distribution.
668 :    
669 :     2004-06-25 fSeries/R
670 :     New functions have been added which compute the Haeviside "H" and
671 :     related functions; just another sign function "Sign", the delta
672 :     function "delta", the boxcar function "boxcar" and the ramp
673 :     function "ramp".
674 :    
675 :     2004-06-24 fOptions/demo
676 :     The 3D Plot functions for the generalized Black-Scholes option
677 :     prices and the sensitivities have been moved to the examples
678 :     located in the demo directory.
679 :    
680 :     2004-06-14 fSeries/data
681 :     The data sets from the book "The Econometric Modelling of
682 :     Financial Time Series" (2nd Edition) written by Terence C.
683 :     Mills have been added to the data directory.
684 :    
685 :     + many other smaller improvements and fixings ...
686 :    
687 :    
688 :     ________________________________________________________________________________
689 :     fBasics VERSION 1090.10056
690 :    
691 :    
692 :     2004-06-13 fbasics
693 :     Some minor internal updates have been made to Rmetrics, now
694 :     coming with version number 190.10056
695 :    
696 :    
697 :     ________________________________________________________________________________
698 :     Rmetrics VERSION 1090.10055
699 :    
700 :    
701 :     2004-06-13 Rmetrics
702 :     The new version should be compiled out of the box on MS Windows
703 :     Linux, and Mac OSX Platforms. I tested it under Windows XP and
704 :     Debian Linux, and OSX. Binary packages for MS Windows and Source
705 :     packages can be found on www.rmetrics.org.
706 :    
707 :     2004-06-11 fSeries/demo
708 :     A new demo named "xmpSeriesFilter.R" has been added which discusses
709 :     time series filters under R and which implements a R function for
710 :     the Hodrick-Prescott filter.
711 :    
712 :     2004-06-11 fBasics/demo
713 :     The three demo files "xmpCor*.R", dealing with autocorrelations,
714 :     the Taylor effect and the long memory behaviour of the NYSE
715 :     Composite have been merged into one demo file.
716 :    
717 :     2004-06-11 fBasics/demo
718 :     A new demo file named "xmpCalChron.R" has been added which shows
719 :     how to manage chronological objects from R's contributed "chron"
720 :     package. The topics include, generation of objects, representation
721 :     of objects, mathematical operations, and object transformations.
722 :    
723 :     2004-06-11 fBasics/demo
724 :     A new demo file named "xmpCalPosix.R" has been added which shows
725 :     how to manage POSIXt objects from R's "base" package. The topics
726 :     include, generation of objects, representation of objects, mathematical
727 :     operations, and object transformations.
728 :    
729 :     2004-06-09 fSeries/demo
730 :     A new demo file named "xmpChaosMaps.R" has been added which shows
731 :     how to write R functions which generate chaotic time series models.
732 :     The functions are: "henonSim" simulates data from Henon Map, "ikedaSim"
733 :     from the "Ikeda Map", "logisticSim" from Logistic Map, "lorentzSim"
734 :     from the Lorentz Map, and "roesslerSim, from the Roessler Map.
735 :    
736 :     2004-06-08 fBasics/src
737 :     Thanks to James McCulloch the Builtin Fortran program named
738 :     "fBasics-symstb.f" which is called by the functions "dsymstb" and
739 :     "psymstb" is now under the GNU GPL license.
740 :    
741 :     2004-06-08 fBasics/src
742 :     Thanks to Tierry Terneau the Builtin C program named "DATE-char_date.c"
743 :     which is called by the function "fjulian" is now under the GNU GPL
744 :     license.
745 :    
746 :     2004-06-08 fBasics/R
747 :     The function "alignDailySeries" has been extended to handle
748 :     multivariate time series objects.
749 :    
750 :     2004-06-08 fBasics/R
751 :     New test functions for testing normality have been added. This
752 :     includes as Builtin functions the functions from R's contributed
753 :     package "nortest" and a function for the D'Agostina normal test.
754 :    
755 :     + many other smaller improvements and fixings ...
756 :    
757 :    
758 :     ________________________________________________________________________________
759 :     Rmetrics VERSION 1090.10054
760 :    
761 :    
762 :     2004-06-07 Rmetrics
763 :     The new version should be compiled out of the box both on MS
764 :     Windows and Linux Platforms. I tested it under Windows XP and
765 :     Debian Linux. Binary packages and Source packages can be found
766 :     on www.Rmetrics.org.
767 :    
768 :     2004-06-07 fBasics/demo/xmpDistDFssd.R
769 :     Demo file added which demonstrates how to estimate probability
770 :     densities using smoothing spline ANOVA models with cubic spline,
771 :     linear spline, or thin-plate spline marginals for numerical
772 :     variables.
773 :    
774 :     2004-06-07 fBasics/demo/xmpDistDFecfd.R
775 :     Demo File added which demonstrates how to compute or plot an
776 :     empirical cumulative distribution function.
777 :    
778 :     2004-06-07 fSeries/data/dem2gbp.csv
779 :     Benchmark data file for GARCH modeling added.
780 :    
781 :     2004-06-07 fSeries/demo/xmpRollingAnalysis.R
782 :     Demo file added which implements two functions computing a Simple
783 :     Moving Average "SMA" and an Exponential Moving Average "EWMA"
784 :     which can be used together with the book "Modelling Financial
785 :     Time Series with SPlus" written by E. Zivot and J. Wang.
786 :    
787 :     2004-06-07 fSeries/deno/xmpRegOLS.R
788 :     Demo file added which implements a simple OLS function which can
789 :     be used together with the book "Modelling Financial Time Series
790 :     with SPlus" written by E. Zivot and J. Wang.
791 :    
792 :     2004-06-07 fSeries/demo/xmpMatrixAddonNA.R
793 :     Demo file added which demonstates how to manage missing
794 :     values in a matrix object. Included are functions to remove,
795 :     to substitute, to interpolate and to impute missing values.
796 :    
797 :     2004-06-07 fSeries/demo/xmpGarchOx.R
798 :     Demo file which demonstrates how to interface R with the
799 :     GarchOx package running under Ox. Note, Ox and GarchOx are
800 :     not part of this distribution.
801 :    
802 :     2004-06-07 fSeries/demo/xmpChaosMaps.R
803 :     Demo file added which demonstrates how to generate some chaotic
804 :     time series models. These include the Henon map, the Ikeda Map,
805 :     the Logistic map, the Lorenz map and the Roessler Map.
806 :    
807 :     2004-06-07 fExtremes/demo/xmpEDAlargenumPlot.R
808 :     Demo file added with two R functions "sllnPlot" and "lilPlot"
809 :     where the first verifies Kolmogorov's Strong Law of Large
810 :     Numbers and the second verifies Hartman-Wintner's Law of the
811 :     iterated logarithm.
812 :    
813 :     2004-06-07 fExtremes/demo/xmpDISTmoments.R
814 :     Demo file added with two R functions "gevMoments" and
815 :     "gpdMoments" which compute true mean and variance for the
816 :     Generalized Extreme Value distribution and for the
817 :     Generalized Pareto distribution.
818 :    
819 :     2004-06-07 fOptions/demo/xmpTREEtrinomialOption.R
820 :     Demo file added which shows how to write a function to compute
821 :     the call and put price of an European or American style option
822 :     using a trinomial tree approach.
823 :    
824 :     + many other smaller improvements and fixings ...
825 :    
826 :    
827 :     ________________________________________________________________________________
828 :     Rmetrics VERSION 1090.10053
829 :    
830 :    
831 :     2004-06-04 fBasics/demo/xmpZW-Chapter-2.R
832 :     Demo files added with examples from Chapter 2 of the book
833 :     of Zivot and Wang "Modeling Financial Time Series with Splus".
834 :    
835 :     2004-06-04 Rmetrics
836 :     Code parts from contributed packages are now integrated as
837 :     BUILTIN functions (invisible for the user). That makes
838 :     Rmetrics running out of the box on an R default installation
839 :     and allows for a better unit testing.
840 :    
841 :     2004-06-03 Rmetrics
842 :     Rmetrics goes unit testing. I decided to use the RUnit package
843 :     for unit testing under Rmetrics.
844 :    
845 :     2004-06-03 fBasics
846 :     Internal GNU Ical time/date concept improved, so that timeDate
847 :     operations become faster and now also run under Debian Linux.
848 :    
849 :     2004-06-03 fExtremes/fOptions
850 :     are now running out of the box under Debian Linux.
851 :    
852 :     2004-06-02 Rmetrics
853 :     All keywords in the help pages have been replaced with R's
854 :     standardized keywords from the KEYWORD.db Database.
855 :    
856 :     2004-06-02 fSeries
857 :     New functions have been added supporting "Matrix Arithmetics
858 :     and Linear Algebra". The help page summarizes selected functions
859 :     available under R and addititional functions are documented
860 :     which have been added by Rmetrics.
861 :    
862 :     2004-05-01 fBasics
863 :     The Fortran Code for the hyperbolic distribution "hyp" has been
864 :     withdrawn and is now replaced by pur R code. The Random number
865 :     Generator implements "rhyperb" from R's "HyperbolicDist" package
866 :     written by David Scott.
867 :    
868 :     2004-05-29 fBasics
869 :     The "timeDate" and "timeSeries" classes have been added to
870 :     the Rmetrics "fBasics" package. Also available are examples
871 :     from Chapter 2 for the book "Modelling Financial Time Series
872 :     with SPlus" written E. Zivot and J. Wang.
873 :    
874 :     2004-05-28 Rmetrics
875 :     MS Windows specific features have been removed from the packages.
876 :     This is a precondition to build the packages in the future also
877 :     under Linux and Mac OSX.
878 :    
879 :     2004-05-19 Rmetrics
880 :     readline() function in examples replaced by xmp* functions which
881 :     allow for an optional interactive prompt, so that R CMD CHECK no
882 :     longer fails when the examples ask for a prompt.
883 :    
884 :     2004-05-03 fBasics
885 :     Installer and Updater "menu" added for installing and updating
886 :     packages from the "Rmetrics" server, (MS Windows only).
887 :    
888 :     2004-04-29 fBasics
889 :     webImport: The functions "economagicImport" and "yahooImport" got
890 :     a new argument named "try" for testing the Internet connection.
891 :     So the program doesn't fail any longer if the Internet is down.
892 :    
893 :    
894 :     ________________________________________________________________________________
895 :     Rmetrics VERSION 1081
896 :    
897 :    
898 :     2004-04-22 fOptions
899 :     Two new functions added for valution of options by the binomial
900 :     tree method. These are: "JRBinomialTreeOption" and
901 :     "TIANBinomialTreeOption".
902 :    
903 :     2004-04-21 fExtremes
904 :     All "*Fit" functions which the parameter estimation functions
905 :     from the "evir" and "ismev" packages have now a common print,
906 :     plot and summary S3 method which deliver their output in the
907 :     same form.
908 :    
909 :     2004-03-21 fExtremes
910 :     A new function "interactivePlot" was added which allows for
911 :     plots in different ways by an argument named "which". If which
912 :     is a character string named "all" all plots are created, if
913 :     which is a logical vector of the length of the number of plots,
914 :     those plots are created which elements of this vector set "TRUE",
915 :     or if which a a character string named named "ask" the plots
916 :     interact with their user.
917 :    
918 :     2004-02-14 fOptions
919 :     New functions have been added for the valuation of options
920 :     by Monte Carlo simulations. These are: "wienerPath",
921 :     "plainVanillaPayoff", "arithmeticAsianPayoff", and
922 :     "MonteCarloOption".
923 :    
924 :     2004-01-29 fBasics
925 :     data: "*.csv" data files have now as delimiter a semicaolon
926 :     instead of a comma, thus we use R's default for *.csv files.
927 :    
928 :     2004-01-29 fBasics
929 :     "print.coefmat" was deprecated in R's Version 1.8.1, thus we
930 :     have it replaced by the current function "printCoefmat".
931 :    
932 :     2004-01-29 fBasics
933 :     "yahooImport" was updated due to format changes.
934 :    
935 :     2004-01-29 fBasics
936 :     "skewness" now support as input data.frame and POSIX objects.
937 :     New methods
938 :     skewness.default(), skewness.data.frame(),
939 :     skewness.POSIXct() and skewness.POSIXlt()
940 :     were added.
941 :    
942 :     2004-01-29 fBasics
943 :     "kurtosis" now support as input data.frame and POSIX objects.
944 :     New methods
945 :     kurtosis.default(), kurtosis.data.frame()
946 :     kurtosis.POSIXct() and kurtosis.POSIXlt()
947 :     were added.
948 :    
949 :     2004-01-29 fSeries
950 :     "regFit" has now S4 print, plot, summary and predict methods.
951 :     All methods are now integrated in one function with argument
952 :     "method" for selection.
953 :    
954 :     2004-01-29 fSeries
955 :     "lmTest" has now integrated all tests in one functions with
956 :     argument "method" for selection. The individual functions can
957 :     be used through the underlying "lmtest" package.
958 :    
959 :     2004-01-29 fSeries
960 :     The collection "technicalAnalysis" was devided into two
961 :     collections, the first is still "technicalAnalysis", the
962 :     added one is named "benchmarkAnalysis".
963 :    
964 :     2004-01-23 fBasics
965 :     "src/chardate.c" removed, now using R-package "date"
966 :    
967 :    
968 : wuertz 8 </PRE>
969 :     </BODY>
970 :     </HTML>
971 :    

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