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Programming Language :: R [Remove This Filter]
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3 projects in result set.
0. Zero-coupon Yield Curve Estimation - The package focuses on the cubic splines approach of McCulloch (1971, 1975) and the Nelson and Siegel (1987) method with extensions by Svensson (1994), Diebold and Li (2006) and De Pooter (2007). | |
Activity Percentile: 0.00 Registered: 2007-01-15 14:54 |
1. RQuantLib - R interface to QuantLib - The RQuantLib package provides an interface for GNU R to the QuantLib
library for modeling, trading, and risk management of financial assets. | |
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Activity Percentile: 0.00 Registered: 2008-01-01 18:41 |
2. Counterparty Credit Risk Management - This project contains techniques measuring the counterparty credit risk management based on the Basel III regulatory framework.
Currently, the SA-CCR exposure-at-default method and valuation adjustments including CVA, DVA, FVA, MVA, KVA are included. | |
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Activity Percentile: 0.00 Registered: 2015-09-20 17:34 |