| BlackLittermanFormula | Computes the Black-Litterman formula for the moments of the... |
| BlackScholesCallPrice | Compute the Black-Scholes price of a European call or put... |
| bondAttribution | bondAttribution |
| butterfliesAnalytics | list of securities with analytics computed. |
| Central2Raw | Transforms first n central moments into first n raw moments... |
| CentralAndStandardizedStatistics | Compute central and standardized statistics. |
| CMAcombination | CMA combination. Glues an arbitrary copula and arbitrary... |
| CMAseparation | CMA separation. Decomposes arbitrary joint distributions... |
| ComputeCVaR | Computes the conditional value at risk as it appears in A.... |
| ComputeMoments | Takes a matrix of joint-scenario probability distributions... |
| ComputeMVE | Compute the minimum volume ellipsoid for a given... |
| CondProbViews | Input conditional views |
| ConvertChangeInYield2Price | Convert change in yield-to-maturity to price for fixed-income... |
| ConvertCompoundedReturns2Price | Convert compounded returns to prices for equity-like... |
| covNRets | covNRets |
| Cumul2Raw | Map cumulative moments into raw moments. |
| db | db |
| dbFFP | Historical Scenarios with Fully Flexible Probabilities... |
| db_FX | fX |
| derivatives | implied vol for options on SPX |
| DetectOutliersViaMVE | Use the minimum volume ellipsoid to detect outliers |
| DoubleDecay | Computes a double-decay covariance matrix. |
| efficientFrontier | Construct the mean-variance efficient frontier using a... |
| EfficientFrontierPrices | Computes the mean-variance efficient frontier (on prices) by... |
| EfficientFrontierReturns | Compute the mean-variance efficient frontier (on returns) by... |
| EfficientFrontierReturnsBenchmark | Computes the mean-variance efficient frontier (on returns) by... |
| EntropyProg | Entropy pooling program for blending views on scenarios with... |
| Equities | daily stock prices from the utility sector in the S&P 500 |
| factorsDistribution | Panel X of joint factors realizations and vector p of... |
| FDButterflies | Factor Distribution Butterflies |
| fILMR | Fully Integrated Liquidity and Market Risk Model dataset. |
| Fit2Moms | Uses Entropy Pooling to compute a double-decay covariance... |
| FitExpectationMaximization | Expectation-Maximization (EM) algorithm to recover missing... |
| FitMultivariateGarch | Estimation of multivariate GARCH models |
| FitOrnsteinUhlenbeck | Fits a multivariate Ornstein - Uhlenbeck process at... |
| FitOU | Fit the Ornstein-uhlenbeck process to model the behavior for... |
| fixedIncome | US government yield curve and bond yield data |
| freaqEst | scenarios table and prior distribution for changes in SWAP2YR... |
| garch1f4 | Fit a GARCH(1,1) model with student-t errors |
| garch2f8 | Off-diagonal parameter estimation in bivariate GARCH(1,1)... |
| gaussHermiteMesh | Generates grid reprensentation of a distribution according to... |
| GenerateLogNormalDistribution | Generate arbitrary distribution of a shifted-lognormal... |
| GenerateUniformDrawsOnUnitSphere | Generate a uniform sample on the unit hypersphere. |
| GenFirstEigVect | This function generates the first eigen vector |
| GenPCBasis | This function computes the conditional principal portfolios |
| hermitePolynomial | Generate a Hermite Polynomial of order n |
| highYieldIndices | highYieldIndices |
| HorizonPricing | Compute the pricing in the horizon as it appears in A.... |
| implVol | implVol |
| integrateSubIntervals | Integrate the subinterval for the given cumulative... |
| InterExtrapolate | Interpolate and extrapolate using n-linear interpolation... |
| kernelbw | Generates bandwidth of a Gaussian Kernel Density Estimator... |
| kernelcdf | Evaluates cumulative distribution function for the input... |
| kernelinv | Evaluates inverse probability distribution function for the... |
| kernelpdf | Evaluates probability distribution function for the input... |
| LeastInfoKernel | Computes least information kernel smoothing |
| linearModel | parameters for the explicit factors / implicit loadings... |
| linreturn | Generate arithmetric returns and arithmetric covariance... |
| Log2Lin | Maps moments of log-returns to linear returns . |
| LognormalCopulaPdf | Computes the pdf of the copula of the lognormal distribution... |
| LognormalMoments2Parameters | Computes the mean and standard deviation of a lognormal... |
| LognormalParam2Statistics | Compute expectation, covariance, standard deviation and... |
| LongShortMeanCVaRFrontier | Computes the long-short conditional value at risk frontier as... |
| MaxEntropy | This function computes the extreme frontier |
| MaxRsqCS | Solve for G that maximises sample r-square of X*G'*B' with X... |
| MaxRsqTS | Solve for B that maximises sample r-square of F'*B' with X... |
| MeanTCEntropyFrontier | This function computes the mean diversification efficient... |
| MleRecursionForStudentT | Compute recursively the ML estimators of location and scatter... |
| MvnRnd | Generate normal simulations whose sample moments match the... |
| NoisyObservations | Generate observations from a two asset covariance matrix and... |
| NormalCopulaPdf | Computes the pdf of the copula of the normal distribution at... |
| normalizeProb | Generates the normalized probability for an input probability... |
| OUstep | Generate the next element based on Ornstein-Uhlenbeck Process |
| OUstepEuler | Generate the next element based on Ornstein-Uhlenbeck process... |
| PanicCopula | Copula-Marginal Algorithm (CMA) |
| PartialConfidencePosterior | Constructs the partial confidence posterior based on a prior,... |
| PerformIidAnalysis | Performs simple invariance (i.i.d.) tests on a time series. |
| pHist | Generates histogram |
| pHistPriorPosterior | Plot prior and posterior distributions. |
| PlotCompositionEfficientFrontier | Plots the efficient frontier |
| PlotDistributions | Plot numerical and analytical prior and posterior... |
| PlotFrontier | Plots the efficient frontier, as it appears in A. Meucci,... |
| PlotMarginalsNormalInverseWishart | Plot the marginals of the normal-inverse-Whishart model.... |
| PlotResults | Plots the results of computing the efficient frontier... |
| PlotVolVsCompositionEfficientFrontier | Plot the efficient frontier in the plane of portfolio weights... |
| Prior2Posterior | Calculate the full-confidence posterior distributions of Mu... |
| private_fun | Evaluates the difference between calculated cumulative... |
| ProjectionStudentT | Perform the horizon projection of a Student t invariant |
| QuantileMixture | Computes the quantile of a mixture distribution by linear... |
| RandNormalInverseWishart | Generates a multivariate i.i.d. sample of lenght J from the... |
| Raw2Central | Transforms the first n raw moments into the first n central... |
| Raw2Cumul | Transforms raw moments into cumulants |
| RejectOutlier | Finds the "worst" outlier in a multivariate time series |
| returnsDistribution | Panel X of joint returns realizations and vector p of... |
| RIEfficientFrontier | Generates an efficient frontier based on Meucci's Ranking... |
| robustBayesianPortfolioOptimization | Construct a Bayesian mean-variance efficient frontier and... |
| sectorsSnP500 | data from the sectors in the S&P 500 |
| sectorsTS | stock returns by sectors |
| securitiesIndustryClassification | Stock Indices |
| securitiesTS | Stock Returns. |
| SimulateJumpDiffusionMerton | Simulates a Merton jump-diffusion process. |
| std | Calculates the population standard deviation |
| StockSeries | Stock Series |
| StudentTCopulaPdf | Pdf of the copula of the Student t distribution at the... |
| subIntervals | Generate the intervals containing jth point of the grid. |
| SummStats | Compute summary stats |
| swap2y4y | Swaps for 2y and 4y |
| swapParRates | swapParRates |
| swaps | swaps |
| TimeSeries | Time Series |
| Tweak | tweak a matrix |
| TwoDimEllipsoid | Computes the location-dispersion ellipsoid of the normalized... |
| UsSwapRates | US Swap Rates |
| ViewCurveSlope | Process views for the expectations and binding constraints as... |
| ViewImpliedVol | Process the inequality view, as it appears in A. Meucci,... |
| ViewRanking | Computes posterior probabilities to view the rankings, as it... |
| ViewRealizedVol | Process the relative inequality view on median, as it appears... |
