Collection of functionality ported from the MATLAB code of Attilio Meucci.

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... |

Embedding an R snippet on your website

Add the following code to your website.

For more information on customizing the embed code, read Embedding Snippets.