frmqa-package: A Package for Financial Risk Management and Quantitative Analysis
Description
This package comprises of R and C++ functions which focus on dealing with issues relating to financial
risk management and quantitative analysis applying uni- and multi-variate generalized hyperbolic and
related distributions. These issues are approached from both directions: analytical (i.e., deriving
and programing analytic formulae) and numerical. In this package, the naming of special functions and their
related functions (e.g., the modified Bessel function of the third kind BesselK and incomplete BesselK functions) follows the convention used in the R
package gsl.Details
ll{
Package: frmqa
Type: Package
Version: 0.1-3
Date: 2012-07-29
License: GPL (>= 2)
}
Note that the package is under current development with more functions are planned to be added shortly.