SCM Repository
[rmetrics] / pkg / fPortfolio / inst / CHANGES.html |
View of /pkg/fPortfolio/inst/CHANGES.html
Parent Directory | Revision Log
Revision 8 -
(download)
(as text)
(annotate)
Tue Feb 28 17:02:40 2006 UTC (10 years, 5 months ago) by wuertz
File size: 42022 byte(s)
Tue Feb 28 17:02:40 2006 UTC (10 years, 5 months ago) by wuertz
File size: 42022 byte(s)
<HTML> <HEAD> <TITLE>Rmetrics::CHANGES</TITLE> </HEAD> <BODY BGCOLOR="WHITE"> <P> <B><FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="7"> <FONT COLOR="#7F0000">Rmetrics</FONT></FONT></FONT></B> <FONT FACE="Arial,Helvetica,Monaco"><B><FONT SIZE="3"> <FONT COLOR="#7F0000">Updates, Changes, and Enhancements</FONT></FONT></FONT> </B></P> <P ALIGN=CENTER> <HR ALIGN=CENTER WIDTH="100%" SIZE="2"> </P> <P> <B><FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2"> 2005-12-18 Built 221.10065</FONT></FONT> </B></P> <PRE> This file reports the most recent updates, changes and enhancements made to the packages included in the Rmetrics environment. The packages are: fBasics, fCalendar, fSeries, fMultivar, fExtremes, fOptions, fPortfolio ________________________________________________________________________________ Rmetrics VERSION 221.10065 2005-02-19 Rmetrics Rmetrics has been compiled for R Version 2.2.1 2006-02-12 fCalendar The explicit setting to timezone GMT is no longer necessary. 2006-02-12 fSeries The long awaites GARCH functions are now available for simulating, modelling, and forecasting GARCH and APARCH time series processes. +++ many other smaller improvements and fixings ... ________________________________________________________________________________ Rmetrics VERSION 220.10064 2005-12-01 fSeries: GarchModelling Major improvements could be achieved for the fSeries Package for GARCH Modelling, although the GARCH modelling functions are still in an experimental state and not yet finished. 2005-12-01 fCalendar: timeDate and timeSeries A paper was submitted to JSS describing 'timeDate' and 'timeSeries' Classes. A draft can be downloaded from www.rmetrics.org. 2005-12-01 Updates of the following files (if it was necessary) are now available: CHANGES.html, COPYING.html, COPYRIGHT.html, FAQ.html, README.html DocFactSheet.pdf, DocRefCard.pdf, DocRmetrics.pdf ________________________________________________________________________________ Rmetrics VERSION 220.10063 Rmetrics VERSION 211.10062 2005-11-02 This is a preliminary version with smaller modifications, updates, and additions compared to Rmetrics 201.0061. Not yet updated is the documentation included in DocFactSheet.pdf Doc, DocRefcard.pdf, and DocRmetrics.pdf. These documents have Version 211.10062. This update is under progress. The major effort was invested to make under both environments MS Windows and Linux Rmetrics running based on the new compiler suite with gfortran. Please note, that I have done this move for Rmetrics already under MS Windows, although this is not yet done for R. The reason why I have done this, is that I develop under MS Windows, and that I wan't support two systems based on different compiler suites. The Mac Version is not yet tested, but hopefully it will run without any problems. ________________________________________________________________________________ Rmetrics VERSION 201.10061 2005-07-25 fBasics: X1-BasicsData A data set named 'usddem30u.csv' with high frequency USDDEM bid and ask rates has been added. 2005-07-25 fBasics: B4-DistributionFits A function named 'stableFit' for the estimation of the distributional parameters of the stable distribution has been added. 2005-07-25 fBasics: A1-WebDataImport A function named 'forecastsImport' for the download of time series data from www.forecasts.org has been added. 2005-07-22 fBasics: B4-StableDistribution A function named 'stableFit' for the estimation of the distributional parameters of the stable distribution has been added. 2005-07-04 fMultivar: A1-BivariateTools Density functions for the bivariate Logistic, Laplace, original Kotz, and Exponential Power Distribution have bee added. 2005-06-19 fSeries: X3-TsayData The data sets from Ruey Tsay's book "Analysis of Financial Time Series" have been added. 2005-06-18 fMultivar: A0-BivariateTools Bivariate normal and Student-t Distribution are now available in this chapter. They are named "[dpr]norm2d" and "[dpr]t2d". 2005-06-18 fMultivar: A2-MultivariateDistribution This chapter has been moved from "fPortfolio" to "fMultivar". 2005-06-10 fBasics: A0-BasicPlots A grey palette named 'greyPal' has been added, like the 'rainbow' palette for colors. Additionally internal functions .hex.to.dec and .dec.to.hex are availalble changing number coding between heximal and decimal number systems. 2005-06-10 fMultivar: A0-BivariateTools A new chapter has been added with three new functions for bivariate data modelling. The functions include a 2D grid generator, a kernel density estimator and a histogram counter. 2005-06-06 fSeries: xmpJarqueBeraTest Examples for the finite sample Jarque Bera Lagrange and augmented Lagrange multiplier tests have been added. 2005-06-06 fSeries: C2-UnitrootDistribution Functions for the computation of the probability and quantiles for the Augmented Dickey Fuller test have been added. 2005-06-06 fBasics: C2-OneSampleTests Functions for the finite sample Jarque Bera Lagrange and augmented Lagrange multiplier tests have been added. 2005-06-06 fBasics: C1-TestsClass Utility functions for plotting and interpolating finite sample test statistics from tables have been added. + many other smaller improvements and fixings ... ________________________________________________________________________________ Rmetrics VERSION 201.10060 2005-05-12 fSeries: xmpGarchpqModelling An example file has been added which shows step by step how to program functions for Garch(p,q) modelling, including functions for simulation, parameter estimation and forecasting. 2005-05-12 fSeries: A3-GarchOxModelling Ox Interface for GARCH modelling has been updated to version G@ARCH 4.0. 2005-05-12 fSeries: A1-ArmaModelling A new optional argument named "rseed" added to function "armaSim". This allows to set the random number seed. 2005-05-04 fOptions: E2-GammaFunctions Bug in "erf" removed. 2005-05-02 fBasics: A2-BasicStatistics The function "stdev" computes the standard deviation for a vector or matrix and was introduced for SPlus compatibility. Under R use the function "sd". 2005-05-02 fMultivar: B1-MatrixAddon: A function named "pdl" has been added which returns a regressor matrix suitable for polynomial distributed lags. 2005-05-02 fMultivar: B1-MatrixAddon: A function named "tslag" has beeen added which returns a lagged/led vector or matrix for given time series data. 2005-05-02 fBasics: A2-BasicStatistics The function "basicStats" now allows also for matrix, data frame and timeSeries inputs. 2005-04-28 fCalendar: C1-timeSeriesClass The time Series class got a new slot named "@recordIDs". The slot is represented by a data.frame whcih can be used for data record identification. This may be useful for FX data sets to name the contributor, to keep delays from the feed or other information. For Futures this may for example name the futures contract. 2005-04-28 fCalendar: C1-timeSeriesClass The arguments named "colNames" have been changed to "units", so that the naming of columns becomes unique in all 'timeSeries' functions. Some time series functions got an additional "units" argument. 2005-04-27 fCalendar: A1-timeDateClass New functions for objects of class 'timeDate' have been added: "isWeekday", "isWeekend", "isBizday", "weekDay". 2005-04-27 fCalendar: A1-timeDateClass The ISO-8601 midnight standard has been implemented. Now "2005-01-01 24:00:00" is a valid date/time string. 2005-04-27 fCalendar: A1-timeDateClass A bug in the ordering of dates for unordered 'timeDate' objects has been removed. + many other smaller improvements and fixings ... ________________________________________________________________________________ Rmetrics VERSION 201.10059 2005-04-18 released 2005-04-05 fSseries: A3-LongMemoryModeling Nine functions have been added to estimate the self-similarity or Hurst exponent from a long-range dependent time series process 2005-04-03 fSseries: A3-LongMemoryModeling Three functions have been add to simulate fractional Gaussian noise. 2005-04-03 fSseries: A3-LongMemoryModeling Five functions have been add to simulate fractional Brownian motion. 2005-03-25 fBasics The basics package a been splitted into two parts. All the time, date and calendar functions have been moved into a new package named fCalender. 2005-03-23 fPortfolio The portfolio package has been started. Topics about multivariate distributions, assets modelling, drawdown statistics, value-at-risk modelling, Markowitz portfolio, two assets portfolio and data sets have been added. 2005-03-21 fPortfolio: A1-MultivariateDistribution This is a collection and description of functions to compute multivariate densities and probabilities from skew normal and skew Student-t distribution functions. Furthermore, multivariate random daviates can be generated, and for multivariate data, the parameters of the underlying distribution can be estimated by the maximum log-likelihood estimation. 2005-03-20 fPortfolio: A2-AssetsModelling This is a collection and description of functions which generate multivariate artficial data sets of assets, which fit the parameters to a multivariate normal, skew normal, or (skew) Student-t distribution and which compute some benchmark statistics. In addition a function is provided which allows for the selection and clustering of individual assets from portfolios using hierarchical and k-means clustering approaches. 2005-03-19 fPortfolio: A3-DrawdownStatistics This is a collection and description of functions which compute drawdown statistics. Included are density, distribution function, and random generation for the maximum drawdown distribution. In addition the expectation of drawdowns for Brownian motion can be computed. 2005-03-18 fPortfolio: B1-VaRModelling This is a collection and description of functions to compute Value-at-Risk and related risk measures for a portfolio of assets. In addition utility functions are available to compute the maximum loss, to calculate the total return, and to plot a histogram of the total return. 2005-03-17 fPortfolio: B2-MarkowitzPortfolio This is a collection and description of functions which investigate the efficient frontier for a Markowitz portfolio from a given return series \code{x} in the mean-variance sense when short selling is forbidden. Tangency, equal weigths, and Monte Carlo portfolios can also be evaluated. 2005-03-14 fPortfolio: B3-TwoAssetsPortfolio This is a collection and description of functions which investigate the efficient frontier for a two assets portfolio from a given return series \code{x} in the mean-variance and CVaR sense when short selling is forbidden. 2005-03-12 fSeries: A1-ArmaModelling Two new functions have been added. "armaToeplitz" allows to compute the covariance matrix from autocovariances, and "armaFischer" computes the Fischer information matrix for an ARMA time series process. 2005-03-03 fMultivar: X1-MultivarData Four new data sets have been added for the examples: 'CobbDouglas' and 'logCobbDouglas' data for the Cobb-Douglas productivity function as used in exaple 7.10 in the book of D.N. Gujarati; 'Greene4Table131' US yearly investment data as listed in the book of W. Greene, 'pr45' sales and durable goods data as used in the book of R.S. Pyndick and D.L. Rubinfeld. 2005-03-02 fMultivar: B1-MatrixAddon Functions vec and vech have been added, that stack a matrix and the lower triangle matrix. 2005-03-02 fBasics: HyperbolicDistribution Functions for the computation of the generalized hyperbolic distribution have been added: dgh, pgh, qgh, and rgh. 2005-02-28 fSeries: GarchDistributions The three chapters C2-SkewNormalDistribution, C2-SkewNormalDistribution, C2-SkewGedDistribution have been merged to one, named C2-GarchDistributions. C5-GarchDistributionFits has thus been renamed to C5-GarchDistributionFits. 2005-01-22 fBasics: HyperbolicDistribution Functions to compute probability, density, quantiles and to generate random deviates in 2nd, 3rd and 4th parameterization for the hyperbolic distribution have been added. Furthermore, functions have been implemented to compute the hyperbolic mode in all four parameterizations. 2005-01-21 fBasics: StableDistribution Functions to compute probability, density, quantiles and to generate random deviates in "S1" and "S2" parameterizations for the stable distribution have been added. Furthermore, afunction have been implemented to compute the stable mode. 2004-12-12 fMultivar: MatrixAddon A function to compute the exponential of a square matrix has been added. 2004-11-17 fSeries: fMultivar The package 'fSeries' has become too "fat", so I partitioned it into twp parts: 'fSeries' and 'fMultivar'. The first part now holds functions for the analysis of time series including ARMA Modelling, GARCH Modelling and Hypothesis Testing, the second part holds now functions for time series anlaysis with regression methods and functions for the technical anlaysis including rolling analysis and benchmarks. 2004-11-16 fBasics: B4-ClassicalTests/B5-StylizedFacts The script file "B4-ClassicalTests" has become too big, so we divided them into three new parts named "B4-TestsClass", "B5-OneSampleTests", and "B6-TwoSampleTests". The script file "B5-StylizedFacts" has been renamed "B7-StylizedFacts". This information is given for those who are interested in the source code and internal structure of the Rmetrics packages. 2004-11-14 fBasics: ClassicalTests We made some changes on the classical test functions. We have introduced an S4 object of class "fHTEST" which describes the classical tests, we have added the usual arguments "title" and "description" to the argument list, and the output of the test now gives more information than the typical printing of R's S3 object "htest". 2004-11-13 fBasics: SPlusCompatibility These are R functions which we made available for SPlus, including - General Functions: strsplit, match.fun, cov, forwardsolve, %x%, data, NROW, NCOL, sd, nlm, optim, download.file. - Tests: bartlett.test, fligner.test, kruskal.test. These functions may be helpful for porting Rmetrics functions to SPlus. 2004-11-11 fSeries: garchSim The function "garchSim" was not working properly when not all model parameters where explicitely specified in the argument list. Missing parameters are now added correctly. [Note, that the "garch" functions will be replaced soon by a new completely rewritten package in the near future.] 2004-10-29 fExtremes: gpdFit The residual statistics and the information about threshold value and the number of exceedances have been added to the summary report. Now, beside numeric vectors also univariate time series objects are accepted as input arguments. 2004-10-29 fExtremes: MdaPlots Now, beside numeric vectors also univariate time series objects are accepted as input arguments. 2004-10-29 fExtremes: gevFit The residual statistics has been added to the summary report. Now, beside numeric vectors also univariate time series objects are accepted as input arguments. 2004-10-29 fExtremes: gevglmFit The residual statistics has been added to the summary report. Now, beside numeric vectors also univariate time series objects are accepted as input arguments. 2004-10-27 fExtremes: data/* The "bmw", "danish" and "siemens" data are now 2 column data frame objects with the first column as ISO-8601 character dates %Y-%m-%d and the second column as numeric values. Formerly they were numeric vectors with POSIX date attributes. Now these data records can easily be transformed to 'timeSeries' objects and used in the same way as under SPlus. 2004-10-16 fOptions: xmpfOptions Bug removed. Internal function 'readf.fOptions00Index' corrected as '.readf.fOptions00Index'. Now the fOptions examples should work. 2004-10-16 fOptions: BesselFunctions Modified Bessel Functions of the first and second kind for integer order together with their derivatives have been added. The functions are entirely written in S. 2004-10-14 fOptions: EBMDistribution Examples have been added to the help file. In addition a bug was fixed: An internal used variable for the computation of the second derivative of the reciprocal Gamma and Johnson Type I distribution was missing. + many other smaller improvements and fixings ... ________________________________________________________________________________ Rmetrics VERSION 200.10058 2004-10-11 Rmetrics The new version is now proofed to be conform with R Version 2.0 for all its functions. 2004-10-03 fSeries: ArmaStatistics The functions from the "ArmaStatisticts" collection have been merged with the collection of "ArmaModelling" functions. 2004-10-01 Rmetrics: The naming of the source and manual page files follows now a unique naming convention. 2004-09-27 fSeries: demo/funSeries Three new functions have been added to the "funSeries.R" file in the demo directory: "tslag" - computes lagged or leading vector/matrix of selected order(s), "pdl" - creates a regressor matrix for polynomial distributed lags, and "disaggregate" - disaggregates a vector or time series from low to high frequency. 2004-09-21 fBasics: BasicStatistics All column and row statistics functions now allow for 'timeSeries' objects and any other 'rectangular' objects which can be transformed to a matrix as input. 2004-09-19 fSeries: RollingAnalysis All rolling anslysis functions now allow for univariate 'timeSeries' objects and any other objects which can be transformed to a vector as input. 2004-09-19 fSeries: TseriesTests All test functions now allow for univariate 'timeSeries' objects and any other objects which can be transformed to a vector as input. 2004-09-19 fBasics: DistributionFits All fitting functions now allow for univariate 'timeSeries' objects and any other objects which can be transformed to a vector as input. 2004-09-19 fBasics: StylizedFacts All stylized facts functions now allow for univariate 'timeSeries' objects and any other objects which can be transformed to a vector as input. 2004-09-19 fBasics: ClassicalTests All test functions now allow for univariate 'timeSeries' objects and any other objects which can be transformed to a vector as input. 2004-09-18 fOptions: EBMDistributions, GammaFunctions, HypergeometricFunctions Three new Chapters have been introduced with functions to compute distributions, the error, gamma and related functions, and the confluent hypergeometric functions. These functions are useful in the field of Exponential Brownian Motion and for the valuation of Asian Options. The demo file "demo/funOptions.R" where the functions where originally listed is now obsolete. 2004-09-14 fSeries: UnitrootDistribution Two functions to compute the cumulative probability, punitroot, and the quantiles, qunitroot, of the unit root test statistics have been added. The functions are based on the Fortran routine and the tables published by J.G. McKinnon 1988. 2004-09-10 fSeries: black.ts.csv A data file which contains real monthly stock return data from January 1978 to December 1987 which are constructed from Berndt's (1991) data set have been added. 2004-09-10 fSeries: LongMemoryModelling Functions to simulate the long memory behaviour of an univariate time series process have been added. Inclided are Beran's, Durbin's, and Paxson's method to generate Fractional Gaussian Noise. 2004-09-08 fSeries: klein.csv A data file which contains data for Klein's (1950) simple econometric model of the US economy has been added. 2004-09-08 fSeries: xmpZWChapter03 Demo files with examples from Chapter 3 of the book of Zivot and Wang "Modeling Financial Time Series with Splus" have been added. 2004-09-03 fSeries: RollingAnalysis Caused by a typing error the function 'rollMean' failed when the argument 'trim' was set to FALSE. This has been corrected. 2004-09-03 fSeries: EquationsModelling We have added functions to perform fits of systems of regression equations. The underlying functions are those from the contributed R-package 'systemfit' written by Jeff D. Hamann and Arne Henningsen. 'systemfit' offers functions for fitting linear structural equations using Ordinary Least Squares (OLS), Weighted Least Squares (WLS), Seemingly Unrelated Regression (SUR), Two-Stage Least Squares (2SLS), Weighted Two-Stage Least Squares (W2SLS) or Three-Stage Least Squares (3SLS). The wrapper fullfills the naming conventions of Rmetrics, returns a S4 objects, and allows for 'timeSeries' objects as input. In addition a S-Plus like Finmetrics function 'SUR' is made available. 2004-09-03 fSeries: xmpEqnsGreenfeld An example to estimate Grunfeld's Model Data with OLS and SUR was added. Different stock prices often move in the same direction at a given point in time. The SUR technique may provide more efficient estimates than OLS in this situation. The example was used by Zellner in his classic. 1962 paper on seemingly unrelated regressions. 2004-09-03 fSeries: kmenta.csv A data file which contains partly contrived data from Kmenta (1986) has been added, constructed to illustrate estimation of a simultaneous equation models. 2004-09-02 fBasics: HolidayCalendars The function 'fjulian' got a new argument 'swap' making the old one 'cc' obsolute. This change was inspired by the POSIX standard. 'swap' is an integer value which determines when dates without the century specifications swap from the 19th to 20th century, by default the value is 20, i.e. we swap 1920. 2004-09-02 fBasics: WebImport A new function named 'fredImport' has been added which allows for downloading daily financial market data from the St. Louis FED. The import functions got a new argument 'sep' which allows to specify the field separator in the data file, usually an Excel *.csv file. The default is a semicolon. 2004-08-05 fSeries: DESCRIPTION The package 'modreg' has been merged into 'stats', so we have removed it from the dependency list in the description file. This caused for Mac OSX operated system a failure. 2004-08-05 fSeries: surex1.ts.csv A data file has been added which contains monthly sampled exchange rate spot returns and forward premium data ranging from March 1976 to June 1996 for the following currencies: USD vs. CAD, DEM, FFR, ITL, JPY and GBP. 2004-07-07 fSeries: nelsonplosser.csv The Nelson-Plosser data set containing the fourteen US economic time series used by Nelson and Plosser in their seminal paper has been added. 2004-07-07 fSeries: xmpAparchModelling The four demos "xmpAparchInnovations", "xmpAparchSimulation", "xmpAparchEstimation", and "xmpAparchNYSERES" have been merged to one new demo named "xmpAparchModelling" to reduce a little bit the large number of example files. 2004-07-07 fSeries: xmpArmaModelling The two demos "xmpArmaAnalysis", and "xmpArmaModelling", have been merged to one new demo named "xmpArmaModelling" to reduce a little bit the large number of example files. 2004-07-07 fBasics: xmpImportInternet The three demos "xmpImportYahoo", "xmpImportEconomagics", and "xmpImportForecasts" have been merged to one new demo named "xmpImportInternet" to reduce a little bit the large number of example files. 2004-07-07 fBasics: xmpXtsBusinessTime The four demos "xmpXtsDailyWeeklyHists", "xmpXtsInterpolation", "xmpXtsDeSeasonalization", and "xmpXtsDeVolatilization" have been merged to one new demo named "xmpXtsBusinessTime" to reduce a little bit the large number of example files. + many other smaller improvements and fixings ... ________________________________________________________________________________ Rmetrics VERSION 1091.10057 2004-07-04 Rmetrics The new version is now proofed to be Debian license conform for all its functions. 2004-07-04 FAQ The FAQ file has been updated, now the FAQ's are providing more information about Rmetrics. 2004-07-04 fBasics/R In function .FirstLib we set a timezone if none found in environment variables or options, as suggested by Dirk Eddelbuettel, thanks Dirk. 2004-06-30 fExtremes/R A new utility function named "gridVector" has been added which creates all grid points from two vectors which span a rectangular grid. 2004-06-29 fOptions/demo A new example file named "funDensitiesEBM.R" has been added which adds some distributions and related functions which are useful in the theory of exponential Brownian Motion. The functions compute densities and probabilities for the log-Normal distribution, the Gamma distribution, the Reciprocal-Gamma distribution, and the Johnson Type-I distribution. Functions are made available for the compution of moments including the Normal, the log-Normal, the Reciprocal-Gamma, and the Asian-Option Density. In addition a function is given to compute numerically first and second derivatives of a given function. 2004-06-29 fOptions/demo A new example file named "funSpecFunsEBM.R" has been added with special mathematical functions which are used in the theory of exponential Brownian Motion. The functions included are: In Part I, the Error Function "erf", the Psi or Digamma Function "Psi", the Incomplete Gamma Function "igamma", the Gamma Function for complex arguments, and the Pochhammer Symbol "Pochhammer". In Part II, the Confluent Hypergeometric Functions of the 1st Kind and 2nd Kind "kummerM" and "kummerU", the Whittaker Functions "whittakerM" and "whittakerW" and the Hermite Polynomials "hermiteH" 2004-06-29 fOptions/demo A new example file named "xmpSpecFunsEBM.R" has been added which shows how to use Gamma Functions, Confluent Hypergeometric and related functions under R. 2004-06-29 fSeries/R New functions to fit the parameters by the maximum log-likelihood method for the symmetric and skew Normal, Student-t with unit variance, and generalized error distribution have been added. 2004-06-28 fBasics/demo A new example file "xmpImportForecasts.R" has been added including a function named "forecastsImport" to download monthly financial market data from the "www.forecasts.org" web site. 2004-06-28 fBasics/R A new function named "keystatsImport" has been added which downloads key statistic and fundamental data for equities from Yahoo's web site. 2004-06-25 fBasics/R The function "as.timeSeries" got two additional arguments which allow to pass dimension names and the timeDate format in POSIX notation to the returned "timeSeries" object. 2004-06-25 fSeries/R New functions "[dpqr]ged" and "[dpqr]sged" have been added which compute density, distribution function, quantile function and generate random variates for the symmetric and skew generalized error distribution. 2004-06-25 fSeries/R New functions "[dpqr]std" and "[dpqr]sstd" have been added which compute density, distribution function, quantile function and generate random variates for the symmetric and skew Student-t distribution with unit variance. 2004-06-25 fSeries/R New functions "[dpqr]snorm" have been added which compute density, distribution function, quantile function and generate random variates for the skew normal distribution. 2004-06-25 fSeries/demo A new example file "xmpDistTESTskew.R" has been added with integration tests for the skew normal, for the skew Student-t with unit variance, and for the skew GED distribution. 2004-06-25 fSeries/R New functions have been added which compute the Haeviside "H" and related functions; just another sign function "Sign", the delta function "delta", the boxcar function "boxcar" and the ramp function "ramp". 2004-06-24 fOptions/demo The 3D Plot functions for the generalized Black-Scholes option prices and the sensitivities have been moved to the examples located in the demo directory. 2004-06-14 fSeries/data The data sets from the book "The Econometric Modelling of Financial Time Series" (2nd Edition) written by Terence C. Mills have been added to the data directory. + many other smaller improvements and fixings ... ________________________________________________________________________________ fBasics VERSION 1090.10056 2004-06-13 fbasics Some minor internal updates have been made to Rmetrics, now coming with version number 190.10056 ________________________________________________________________________________ Rmetrics VERSION 1090.10055 2004-06-13 Rmetrics The new version should be compiled out of the box on MS Windows Linux, and Mac OSX Platforms. I tested it under Windows XP and Debian Linux, and OSX. Binary packages for MS Windows and Source packages can be found on www.rmetrics.org. 2004-06-11 fSeries/demo A new demo named "xmpSeriesFilter.R" has been added which discusses time series filters under R and which implements a R function for the Hodrick-Prescott filter. 2004-06-11 fBasics/demo The three demo files "xmpCor*.R", dealing with autocorrelations, the Taylor effect and the long memory behaviour of the NYSE Composite have been merged into one demo file. 2004-06-11 fBasics/demo A new demo file named "xmpCalChron.R" has been added which shows how to manage chronological objects from R's contributed "chron" package. The topics include, generation of objects, representation of objects, mathematical operations, and object transformations. 2004-06-11 fBasics/demo A new demo file named "xmpCalPosix.R" has been added which shows how to manage POSIXt objects from R's "base" package. The topics include, generation of objects, representation of objects, mathematical operations, and object transformations. 2004-06-09 fSeries/demo A new demo file named "xmpChaosMaps.R" has been added which shows how to write R functions which generate chaotic time series models. The functions are: "henonSim" simulates data from Henon Map, "ikedaSim" from the "Ikeda Map", "logisticSim" from Logistic Map, "lorentzSim" from the Lorentz Map, and "roesslerSim, from the Roessler Map. 2004-06-08 fBasics/src Thanks to James McCulloch the Builtin Fortran program named "fBasics-symstb.f" which is called by the functions "dsymstb" and "psymstb" is now under the GNU GPL license. 2004-06-08 fBasics/src Thanks to Tierry Terneau the Builtin C program named "DATE-char_date.c" which is called by the function "fjulian" is now under the GNU GPL license. 2004-06-08 fBasics/R The function "alignDailySeries" has been extended to handle multivariate time series objects. 2004-06-08 fBasics/R New test functions for testing normality have been added. This includes as Builtin functions the functions from R's contributed package "nortest" and a function for the D'Agostina normal test. + many other smaller improvements and fixings ... ________________________________________________________________________________ Rmetrics VERSION 1090.10054 2004-06-07 Rmetrics The new version should be compiled out of the box both on MS Windows and Linux Platforms. I tested it under Windows XP and Debian Linux. Binary packages and Source packages can be found on www.Rmetrics.org. 2004-06-07 fBasics/demo/xmpDistDFssd.R Demo file added which demonstrates how to estimate probability densities using smoothing spline ANOVA models with cubic spline, linear spline, or thin-plate spline marginals for numerical variables. 2004-06-07 fBasics/demo/xmpDistDFecfd.R Demo File added which demonstrates how to compute or plot an empirical cumulative distribution function. 2004-06-07 fSeries/data/dem2gbp.csv Benchmark data file for GARCH modeling added. 2004-06-07 fSeries/demo/xmpRollingAnalysis.R Demo file added which implements two functions computing a Simple Moving Average "SMA" and an Exponential Moving Average "EWMA" which can be used together with the book "Modelling Financial Time Series with SPlus" written by E. Zivot and J. Wang. 2004-06-07 fSeries/deno/xmpRegOLS.R Demo file added which implements a simple OLS function which can be used together with the book "Modelling Financial Time Series with SPlus" written by E. Zivot and J. Wang. 2004-06-07 fSeries/demo/xmpMatrixAddonNA.R Demo file added which demonstates how to manage missing values in a matrix object. Included are functions to remove, to substitute, to interpolate and to impute missing values. 2004-06-07 fSeries/demo/xmpGarchOx.R Demo file which demonstrates how to interface R with the GarchOx package running under Ox. Note, Ox and GarchOx are not part of this distribution. 2004-06-07 fSeries/demo/xmpChaosMaps.R Demo file added which demonstrates how to generate some chaotic time series models. These include the Henon map, the Ikeda Map, the Logistic map, the Lorenz map and the Roessler Map. 2004-06-07 fExtremes/demo/xmpEDAlargenumPlot.R Demo file added with two R functions "sllnPlot" and "lilPlot" where the first verifies Kolmogorov's Strong Law of Large Numbers and the second verifies Hartman-Wintner's Law of the iterated logarithm. 2004-06-07 fExtremes/demo/xmpDISTmoments.R Demo file added with two R functions "gevMoments" and "gpdMoments" which compute true mean and variance for the Generalized Extreme Value distribution and for the Generalized Pareto distribution. 2004-06-07 fOptions/demo/xmpTREEtrinomialOption.R Demo file added which shows how to write a function to compute the call and put price of an European or American style option using a trinomial tree approach. + many other smaller improvements and fixings ... ________________________________________________________________________________ Rmetrics VERSION 1090.10053 2004-06-04 fBasics/demo/xmpZW-Chapter-2.R Demo files added with examples from Chapter 2 of the book of Zivot and Wang "Modeling Financial Time Series with Splus". 2004-06-04 Rmetrics Code parts from contributed packages are now integrated as BUILTIN functions (invisible for the user). That makes Rmetrics running out of the box on an R default installation and allows for a better unit testing. 2004-06-03 Rmetrics Rmetrics goes unit testing. I decided to use the RUnit package for unit testing under Rmetrics. 2004-06-03 fBasics Internal GNU Ical time/date concept improved, so that timeDate operations become faster and now also run under Debian Linux. 2004-06-03 fExtremes/fOptions are now running out of the box under Debian Linux. 2004-06-02 Rmetrics All keywords in the help pages have been replaced with R's standardized keywords from the KEYWORD.db Database. 2004-06-02 fSeries New functions have been added supporting "Matrix Arithmetics and Linear Algebra". The help page summarizes selected functions available under R and addititional functions are documented which have been added by Rmetrics. 2004-05-01 fBasics The Fortran Code for the hyperbolic distribution "hyp" has been withdrawn and is now replaced by pur R code. The Random number Generator implements "rhyperb" from R's "HyperbolicDist" package written by David Scott. 2004-05-29 fBasics The "timeDate" and "timeSeries" classes have been added to the Rmetrics "fBasics" package. Also available are examples from Chapter 2 for the book "Modelling Financial Time Series with SPlus" written E. Zivot and J. Wang. 2004-05-28 Rmetrics MS Windows specific features have been removed from the packages. This is a precondition to build the packages in the future also under Linux and Mac OSX. 2004-05-19 Rmetrics readline() function in examples replaced by xmp* functions which allow for an optional interactive prompt, so that R CMD CHECK no longer fails when the examples ask for a prompt. 2004-05-03 fBasics Installer and Updater "menu" added for installing and updating packages from the "Rmetrics" server, (MS Windows only). 2004-04-29 fBasics webImport: The functions "economagicImport" and "yahooImport" got a new argument named "try" for testing the Internet connection. So the program doesn't fail any longer if the Internet is down. ________________________________________________________________________________ Rmetrics VERSION 1081 2004-04-22 fOptions Two new functions added for valution of options by the binomial tree method. These are: "JRBinomialTreeOption" and "TIANBinomialTreeOption". 2004-04-21 fExtremes All "*Fit" functions which the parameter estimation functions from the "evir" and "ismev" packages have now a common print, plot and summary S3 method which deliver their output in the same form. 2004-03-21 fExtremes A new function "interactivePlot" was added which allows for plots in different ways by an argument named "which". If which is a character string named "all" all plots are created, if which is a logical vector of the length of the number of plots, those plots are created which elements of this vector set "TRUE", or if which a a character string named named "ask" the plots interact with their user. 2004-02-14 fOptions New functions have been added for the valuation of options by Monte Carlo simulations. These are: "wienerPath", "plainVanillaPayoff", "arithmeticAsianPayoff", and "MonteCarloOption". 2004-01-29 fBasics data: "*.csv" data files have now as delimiter a semicaolon instead of a comma, thus we use R's default for *.csv files. 2004-01-29 fBasics "print.coefmat" was deprecated in R's Version 1.8.1, thus we have it replaced by the current function "printCoefmat". 2004-01-29 fBasics "yahooImport" was updated due to format changes. 2004-01-29 fBasics "skewness" now support as input data.frame and POSIX objects. New methods skewness.default(), skewness.data.frame(), skewness.POSIXct() and skewness.POSIXlt() were added. 2004-01-29 fBasics "kurtosis" now support as input data.frame and POSIX objects. New methods kurtosis.default(), kurtosis.data.frame() kurtosis.POSIXct() and kurtosis.POSIXlt() were added. 2004-01-29 fSeries "regFit" has now S4 print, plot, summary and predict methods. All methods are now integrated in one function with argument "method" for selection. 2004-01-29 fSeries "lmTest" has now integrated all tests in one functions with argument "method" for selection. The individual functions can be used through the underlying "lmtest" package. 2004-01-29 fSeries The collection "technicalAnalysis" was devided into two collections, the first is still "technicalAnalysis", the added one is named "benchmarkAnalysis". 2004-01-23 fBasics "src/chardate.c" removed, now using R-package "date" </PRE> </BODY> </HTML>
R-Forge@R-project.org | ViewVC Help |
Powered by ViewVC 1.0.0 |