Files in R-Finance/Meucci
Collection of functionality ported from the MATLAB code of Attilio Meucci.
DESCRIPTION
Meucci_functions.csv
NAMESPACE
R/BlackLittermanFormula.R
R/BlackScholesCallPrice.R
R/ButterflyTradingFunctions.R
R/CentralAndStandardizedStatistics.R
R/CmaCopula.R
R/ConvertChangeInYield2Price.R
R/CovertCompoundedReturns2Price.R
R/DetectOutliersviaMVE.R
R/DoubleDecay.R
R/EfficientFrontierPrices.R
R/EfficientFrontierReturns.R
R/EfficientFrontierReturnsBenchmark.R
R/EntropyProg.R
R/Fit2Moms.R
R/FitExpectationMaximization.R
R/FitMultivariateGarch.R
R/FitOrnsteinUhlenbeck.R
R/FullyFlexibleBayesNets.R
R/GenerateUniformDrawsOnUnitSphere.R
R/HermiteGrid.R
R/InterExtrapolate.R
R/InvariantProjection.R
R/LeastInfoKernel.R
R/Log2Lin.R
R/LognormalCopulaPdf.R
R/LognormalMoments2Parameters.R
R/LognormalParameters2Statistics.R
R/MaxRsqCS.R
R/MaxRsqTS.R
R/MeanDiversificationFrontier.R
R/MleRecursionForStudentT.R
R/MultivariateOUnCointegration.R
R/MvnRnd.R
R/NormalCopulaPdf.R
R/PerformIidAnalysis.R
R/PlotCompositionEfficientFrontier.R
R/PlotDistributions.R
R/PlotMarginalsNormalInverseWishart.R
R/PlotVolVsCompositionEfficientFrontier.R
R/Prior2Posterior.R
R/ProjectionStudentT.R
R/QuantileMixture.R
R/RandNormalInverseWishart.R
R/RankingInformationFunctions.R
R/RobustBayesianAllocation.R
R/SimulateJumpDiffusionMerton.R
R/StudentTCopulaPdf.R
R/TwoDimEllipsoid.R
R/data.R
R/logToArithmeticCovariance.R
R/pHistPriorPosterior.R
THANKS
TODO
data/bondAttribution.rda
data/butterfliesAnalytics.rda
data/covNRets.rda
data/db.rda
data/dbFFP.rda
data/derivatives.rda
data/equities.rda
data/fILMR.rda
data/fX.rda
data/factorsDistribution.rda
data/fixedIncome.rda
data/freaqEst.rda
data/highYieldIndices.rda
data/implVol.rda
data/linearModel.rda
data/returnsDistribution.rda
data/sectorsSnP500.rda
data/sectorsTS.rda
data/securitiesIndustryClassification.rda
data/securitiesTS.rda
data/stockSeries.rda
data/swap2y4y.rda
data/swapParRates.rda
data/swaps.rda
data/timeSeries.rda
data/usSwapRates.rda
demo/00Index
demo/AnalyticalvsNumerical.R
demo/ButterflyTrading.R
demo/DetectOutliersviaMVE.R
demo/FullFlexProbs.R
demo/FullyFlexibleBayesNets.R
demo/FullyIntegratedLiquidityAndMarketRisk.R
demo/HermiteGrid_CVaR_Recursion.R
demo/HermiteGrid_CaseStudy.R
demo/HermiteGrid_demo.R
demo/InvariantProjection.R
demo/MeanDiversificationFrontier.R
demo/Prior2Posterior.R
demo/RankingInformation.R
demo/RobustBayesianAllocation.R
demo/S_AnalyzeLognormalCorrelation.R
demo/S_AnalyzeNormalCorrelation.R
demo/S_AnalyzeNormalInverseWishart.R
demo/S_AutocorrelatedProcess.R
demo/S_BivariateSample.R
demo/S_BlackLittermanBasic.R
demo/S_BondProjectionPricingNormal.R
demo/S_BondProjectionPricingStudentT.R
demo/S_BuyNHold.R
demo/S_CPPI.R
demo/S_CallsProjectionPricing.R
demo/S_CheckDiagonalization.R
demo/S_CornishFisher.R
demo/S_CorrelationPriorUniform.R
demo/S_CovarianceEvolution.R
demo/S_CrossSectionConstrainedIndustries.R
demo/S_CrossSectionIndustries.R
demo/S_DerivativesInvariants.R
demo/S_DeterministicEvolution.R
demo/S_DisplayLognormalCopulaPdf.R
demo/S_DisplayNormalCopulaCdf.R
demo/S_DisplayNormalCopulaPdf.R
demo/S_DisplayStudentTCopulaPdf.R
demo/S_ESContributionFactors.R
demo/S_ESContributionsStudentT.R
demo/S_EigenvalueDispersion.R
demo/S_EllipticalNDim.R
demo/S_EntropyView.R
demo/S_EquitiesInvariants.R
demo/S_EquityProjectionPricing.R
demo/S_EstimateExpectedValueEvaluation.R
demo/S_EstimateMomentsComboEvaluation.R
demo/S_EstimateQuantileEvaluation.R
demo/S_Estimator.R
demo/S_EvaluationGeneric.R
demo/S_ExactMeanAndCovariance.R
demo/S_ExpectationMaximizationHighYield.R
demo/S_ExtremeValueTheory.R
demo/S_FactorAnalysisNotOk.R
demo/S_FactorResidualCorrelation.R
demo/S_FitProjectRates.R
demo/S_FitSwapToStudentT.R
demo/S_FixedIncomeInvariants.R
demo/S_FullCodependence.R
demo/S_FxCopulaMarginal.R
demo/S_GenerateMixtureSample.R
demo/S_HedgeOptions.R
demo/S_HorizonEffect.R
demo/S_InvestorsObjective.R
demo/S_JumpDiffusionMerton.R
demo/S_LinVsLogReturn.R
demo/S_LognormalSample.R
demo/S_MarkovChainMonteCarlo.R
demo/S_MaxMinVariance.R
demo/S_MaximumLikelihood.R
demo/S_MeanVarianceBenchmark.R
demo/S_MeanVarianceCalls.R
demo/S_MeanVarianceHorizon.R
demo/S_MeanVarianceOptimization.R
demo/S_MultiVarSqrRootRule.R
demo/S_NonAnalytical.R
demo/S_NormalSample.R
demo/S_OrderStatisticsPdfLognormal.R
demo/S_OrderStatisticsPdfStudentT.R
demo/S_PasturMarchenko.R
demo/S_ProjectNPriceMvGarch.R
demo/S_ProjectSummaryStatistics.R
demo/S_PureResidualBonds.R
demo/S_ResidualAnalysisTheory.R
demo/S_SelectionHeuristics.R
demo/S_SemiCircular.R
demo/S_ShrinkageEstimators.R
demo/S_SnPCaseStudy.R
demo/S_StatArbSwaps.R
demo/S_StudentTSample.R
demo/S_SwapPca2Dim.R
demo/S_TStatApprox.R
demo/S_TimeSeriesConstrainedIndustries.R
demo/S_TimeSeriesIndustries.R
demo/S_TimeSeriesVsCrossSectionIndustries.R
demo/S_Toeplitz.R
demo/S_ToyExample.R
demo/S_UtilityMax.R
demo/S_VaRContributionsUniform.R
demo/S_VolatilityClustering.R
demo/S_Wishart.R
demo/S_WishartCorrelation.R
demo/S_WishartLocationDispersion.R
demo/S_plotGaussHermite.R
demo/logToArithmeticCovariance.R
man/BlackLittermanFormula.Rd
man/BlackScholesCallPrice.Rd
man/CMAcombination.Rd
man/CMAseparation.Rd
man/Central2Raw.Rd
man/CentralAndStandardizedStatistics.Rd
man/ComputeCVaR.Rd
man/ComputeMVE.Rd
man/ComputeMoments.Rd
man/CondProbViews.Rd
man/ConvertChangeInYield2Price.Rd
man/ConvertCompoundedReturns2Price.Rd
man/Cumul2Raw.Rd
man/DetectOutliersViaMVE.Rd
man/DoubleDecay.Rd
man/EfficientFrontierPrices.Rd
man/EfficientFrontierReturns.Rd
man/EfficientFrontierReturnsBenchmark.Rd
man/EntropyProg.Rd
man/Equities.Rd
man/FDButterflies.Rd
man/Fit2Moms.Rd
man/FitExpectationMaximization.Rd
man/FitMultivariateGarch.Rd
man/FitOU.Rd
man/FitOrnsteinUhlenbeck.Rd
man/GenFirstEigVect.Rd
man/GenPCBasis.Rd
man/GenerateLogNormalDistribution.Rd
man/GenerateUniformDrawsOnUnitSphere.Rd
man/HorizonPricing.Rd
man/InterExtrapolate.Rd
man/LeastInfoKernel.Rd
man/Log2Lin.Rd
man/LognormalCopulaPdf.Rd
man/LognormalMoments2Parameters.Rd
man/LognormalParam2Statistics.Rd
man/LongShortMeanCVaRFrontier.Rd
man/MaxEntropy.Rd
man/MaxRsqCS.Rd
man/MaxRsqTS.Rd
man/MeanTCEntropyFrontier.Rd
man/MleRecursionForStudentT.Rd
man/MvnRnd.Rd
man/NoisyObservations.Rd
man/NormalCopulaPdf.Rd
man/OUstep.Rd
man/OUstepEuler.Rd
man/PanicCopula.Rd
man/PartialConfidencePosterior.Rd
man/PerformIidAnalysis.Rd
man/PlotCompositionEfficientFrontier.Rd
man/PlotDistributions.Rd
man/PlotFrontier.Rd
man/PlotMarginalsNormalInverseWishart.Rd
man/PlotResults.Rd
man/PlotVolVsCompositionEfficientFrontier.Rd
man/Prior2Posterior.Rd
man/ProjectionStudentT.Rd
man/QuantileMixture.Rd
man/RIEfficientFrontier.Rd
man/RandNormalInverseWishart.Rd
man/Raw2Central.Rd
man/Raw2Cumul.Rd
man/RejectOutlier.Rd
man/SimulateJumpDiffusionMerton.Rd
man/StockSeries.Rd
man/StudentTCopulaPdf.Rd
man/SummStats.Rd
man/TimeSeries.Rd
man/Tweak.Rd
man/TwoDimEllipsoid.Rd
man/UsSwapRates.Rd
man/ViewCurveSlope.Rd
man/ViewImpliedVol.Rd
man/ViewRanking.Rd
man/ViewRealizedVol.Rd
man/bondAttribution.Rd
man/butterfliesAnalytics.Rd
man/covNRets.Rd
man/db.Rd
man/dbFFP.Rd
man/db_FX.Rd
man/derivatives.Rd
man/efficientFrontier.Rd
man/fILMR.Rd
man/factorsDistribution.Rd
man/fixedIncome.Rd
man/freaqEst.Rd
man/garch1f4.Rd
man/garch2f8.Rd
man/gaussHermiteMesh.Rd
man/hermitePolynomial.Rd
man/highYieldIndices.Rd
man/implVol.Rd
man/integrateSubIntervals.Rd
man/kernelbw.Rd
man/kernelcdf.Rd
man/kernelinv.Rd
man/kernelpdf.Rd
man/linearModel.Rd
man/linreturn.Rd
man/normalizeProb.Rd
man/pHist.Rd
man/pHistPriorPosterior.Rd
man/private_fun.Rd
man/returnsDistribution.Rd
man/robustBayesianPortfolioOptimization.Rd
man/sectorsSnP500.Rd
man/sectorsTS.Rd
man/securitiesIndustryClassification.Rd
man/securitiesTS.Rd
man/std.Rd
man/subIntervals.Rd
man/swap2y4y.Rd
man/swapParRates.Rd
man/swaps.Rd
