maRketSim-package: maRketSim market simulator for R

In maRketSim: Market simulator for R

Description

maRketSim is a market simulator for R. It was initially designed around the bond market, with plans to expand to stocks. maRketSim is built around the idea of portfolios of fundmantal objects. Therefore it is slow in its current incarnation, but allows you the flexibility of seeing exactly what is in your final results, since the objects are retained.

Details

Package:	maRketSim
Type:	Package
Version:	1.0
Date:	2010-01-01
License:	What license is it under?
LazyLoad:	yes

See the demo file for a quick introduction.

Author(s)

Ari B. Friedman

Maintainer: Ari B. Friedman <[e-mail]>

References

Fabozzi: Fixed Income Mathematics

Examples

mkt1 <- market(market.bond(i=.05),t=0)
mkt2 <- market(market.bond(i=.07),t=2)
bnd <- bond(mkt=mkt1,mat=5)
summary(bnd,mkt=mkt2)

Example output

maRketSim - This software is research software and is not intended for real-time use.  Under no circumstances should it be used as the basis for market or trading decisions.
Loading required package: taRifx
5-year bond with interest of 5% under a current market yield of 7%.
Current maturity of 3 years.
Par value is $1000, paying $25 every 0.5 year.
Present value (price) of the bond under current market conditions is $946.71
Macaulay duration is 2.82 years, modified duration is 2.72 years, with a convexity of 9.01.

maRketSim documentation built on May 29, 2017, 10:54 p.m.