QRMlib-package {QRMlib} | R Documentation |
This is a free R-language translation of the S-Plus library (QRMlib) designed to accompany the book Quantitative Risk Management: Concepts, Techniques and Tools by Alexander J. McNeil, Rüdiger Frey and Paul Embrechts. It was built by Scott Ulman scottulman@hotmail.com. A separate S-Plus version of the library can be downloaded from Alexander McNeil's URL.
Package: | QRMlib |
Type: | Package |
Version: | 1.4 |
Date: | 2007-04-08 |
Depends: | R(>= 2.4.1),fCalendar,methods,fEcofin, mvtnorm, chron,its,Hmisc |
License: | GPL version 2 or newer |
URL: | http://www.math.etzh.ch/~mcneil/book/qrmlib.html |
Packaged: | April 8, 2007 |
Built: | R 2.4.1; i386-pc-mingw32; 2007-04-08 12:00:00; windows |
The package provides an entire library of methods to investigate concepts associated with QRM, including Market Risk, Credit Risk, and Operational Risk, as developed in the textbook. Additionally, it contains a set of chapter scripts which can be used to build many of the graphs and tables in the text. Under the library folder, look for folders Chap2-Chap8 which contain the scripts.
The original S-Plus data files cac40, danish, DJ, dji, ftse100, FXGBP.RAW, hsi, nasdaq, nikkei, smi, sp500, xdax are all S-Plus ‘timeSeries’ object files.
Unfortunately, R-language has several different time-series classes, none of which coincides with the S-Plus version. The R-Metrics' class ‘timeSeries’ (contained in library fCalendar) is the closest to an S-Plus timeSeries.
Hence data files built in this R-language translation are all R-Metrics ‘timeSeries’ types. This means you must load the fCalendar library in order to use the R-data files. The setup program should require automatic loading of fCalendar when you open QRMlib.
To automatically load the QRMlib package (and the fCalendar package), see
profileLoadLibrary
To automatically load the data files and save them in the current workspace, see
storeDataInWorkspace
S-Plus Original by Alexander McNeil; R-language port by Scott Ulman
Maintainer: Scott Ulman <scottulman@hotmail.com> for R-language version
Quantitative Risk Management: Concepts, Techniques and Tools by Alexander J. McNeil, Rüdiger Frey and Paul Embrechts
Princeton Press, 2005
QRMBook-workspace
and storeDataInWorkspace
and
profileLoadLibrary