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frmqa (version 0.1-3)

The Generalized Hyperbolic Distribution, Related Distributions and Their Applications in Finance

Description

A collection of R and C++ functions to work with the generalized hyperbolic distribution, related distributions and their applications in financial risk management and quantitative analysis.

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Version

Install

install.packages('frmqa')

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Version

0.1-3

License

GPL (>= 2)

Maintainer

Thanh T Tran

Last Published

July 29th, 2012

Functions in frmqa (0.1-3)

frmqa-package

A Package for Financial Risk Management and Quantitative Analysis

besselK_app_ser

Asymptotic Approximations of the Modified Bessel K Function

besselK_inc_clo

Exact Calculation of the Incomplete Bessel K Function

besselK_inc_ite

Approximations of the Incomplete BesselK Function Using an Iterative Algorithm