Tobias Setz

Tobias Setz

17 packages on CRAN

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Provides functions for pricing and valuating Asian Options together with tools for analyzing and modeling Exponential Brownian Motion (EBM).

fAssets

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Provides a collection of functions to manage, to investigate and to analyze data sets of financial assets from different points of view.

fBasics

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Environment for teaching "Financial Engineering and Computational Finance".

fBonds

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It implements the Nelson-Siegel and the Nelson-Siegel-Svensson term structures.

fCopulae

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Environment for teaching "Financial Engineering and Computational Finance".

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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.

fGarch

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Provides a collection of functions to analyze and model heteroskedastic behavior in financial time series models.

fImport

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Provides a collection of utility functions to download and manage data sets from the Internet or from other sources.

fMultivar

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Provides a collection of functions to manage, to investigate and to analyze bivariate and multivariate data sets of financial returns.

fNonlinear

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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.

fOptions

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Provides a collection of functions to valuate basic options. This includes the generalized Black-Scholes option, options on futures and options on commodity futures.

fPortfolio

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Provides a collection of functions to optimize portfolios and to analyze them from different points of view.

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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.

fTrading

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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.

fUnitRoots

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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 MacKinnon's unit root test statistics, (iii) reimplementations for the ADF and MacKinnon Test, and (iv) an 'urca' Unit Root Test Interface for Pfaff's unit root test suite.

timeDate

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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.

timeSeries

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Environment for teaching "Financial Engineering and Computational Finance". Managing financial time series objects.