frmqa-package:
A Package for Financial Risk Management
and Quantitative Analysis
Description
This package comprises of R and C++ functions which deal with
issues relating
to financial risk management and quantitative analysis by 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. Note that the latter
appears to be the only approach currently used in practice because of the
intractability of these families of distributions, which is caused by
the presence of the modified Bessel function of the third kind
BesselK $K_{\lambda}(z)$, in their density functions. In this
package, the naming of special functions and their related
functions (e.g., BesselK and incomplete BesselK functions)
follows the convention used in the R
package gsl.
Details
|
Package: |
| frmqa |
|
Type: |
| Package |
|
Version: |
| 0.1-5 |
|
Date: |
| 2012-11-2 |
|
License: |
| GPL (>= 2) |
The package is under current development with more
functions are planned to be added shortly.