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frmqa (version 0.1-4)

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')

Monthly Downloads

34

Version

0.1-4

License

GPL (>= 2)

Maintainer

Thanh T Tran

Last Published

October 25th, 2012

Functions in frmqa (0.1-4)

besselK_inc_ite

Approximations of the Incomplete BesselK Function Using an Iterative Algorithm
derivErfc

Calculate High Order Derivatives of Composite Functions
Bell

Bell Coefficients Calculation
CalIncLapInt

Evaluation of Analytical Formulae for the Incomplete Laplace Integral
besselK_inc_err

Calculation of the Incomplete BesselK Functions in Terms of the Complementary Error Functions
pgig

Accurate Evaluation of Tail Probabilities of the Generalized Inverse Gaussian Distribution
besselK_inc_clo

Exact Calculation of the Incomplete BesselK Function
frmqa-package

A Package for Financial Risk Management and Quantitative Analysis
gamma_inc_err

Accurate Calculation of the Incomplete Gamma Functions Using Analytical Formulae