R/data.R

In R-Finance/Meucci: Collection of functionality ported from the MATLAB code of Attilio Meucci.

#' @title Historical Scenarios with Fully Flexible Probabilities dataset.
#'
#' @description Data for the Historical Scenarios with Fully Flexible Probabilities paper.
#'
#' @name dbFFP
#' @docType data
#' @author Xavier Valls\email{flamejat@@gmail.com}
#' @references A. Meucci, "Personalized Risk Management: Historical Scenarios with Fully Flexible Probabilities"
#' GARP Risk Professional, Dec 2010, p 47-51. \url{http://www.symmys.com/node/150}
#' @keywords data
NULL

#' @title Fully Integrated Liquidity and Market Risk Model dataset.
#'
#' @description Data for the Fully Integrated Liquidity and Market Risk Model paper.
#'
#' @name fILMR
#' @docType data
#' @author Xavier Valls\email{flamejat@@gmail.com}
#' @references A. Meucci, "A Fully Integrated Liquidity and Market Risk Model", Financial Analyst Journal, 68, 6, 35-47 (2012) \url{http://www.symmys.com/node/350}
#' @keywords data
NULL

#' @title implVol
#'
#' @name implVol
#' @docType data
#' @author Xavier Valls\email{flamejat@@gmail.com}
#' @references A. Meucci, Exercises in Advanced Risk and Portfolio Management. \url{http://symmys.com/node/170}
#' @keywords data
NULL

#' @title Stock Returns.
#'
#' @name securitiesTS
#'
#' @description Stock Returns.
#'
#' @docType data
#' @author Xavier Valls\email{flamejat@@gmail.com}
#' @references A. Meucci, Exercises in Advanced Risk and Portfolio Management. \url{http://symmys.com/node/170}
#' @keywords data
NULL

#' @title Stock Indices
#'
#' @name securitiesIndustryClassification
#'
#' @description Stock Indices
#'
#' @docType data
#' @author Xavier Valls\email{flamejat@@gmail.com}
#' @references A. Meucci, Exercises in Advanced Risk and Portfolio Management. \url{http://symmys.com/node/170}
#' @keywords data
NULL

#' @title implied vol for options on SPX
#'
#' @name derivatives
#'
#' @description implied vol for options on SPX for different time to maturity and moneyness.
#'
#' @docType data
#' @author Xavier Valls\email{flamejat@@gmail.com}
#' @references A. Meucci, Exercises in Advanced Risk and Portfolio Management. \url{http://symmys.com/node/170}
#' @keywords data
NULL

#' @title daily stock prices from the utility sector in the S&P 500
#'
#' @name Equities
#'
#' @description daily stock prices from the utility sector in the S&P 500.
#'
#' @docType data
#' @author Xavier Valls\email{flamejat@@gmail.com}
#' @references A. Meucci, Exercises in Advanced Risk and Portfolio Management. \url{http://symmys.com/node/170}
#' @keywords data
NULL

#' @title highYieldIndices
#'
#' @name highYieldIndices
#' @docType data
#' @author Xavier Valls\email{flamejat@@gmail.com}
#' @references A. Meucci, Exercises in Advanced Risk and Portfolio Management. \url{http://symmys.com/node/170}
#' @keywords data
NULL

#' @title US Swap Rates
#'
#' @name UsSwapRates
#' @docType data
#' @author Xavier Valls\email{flamejat@@gmail.com}
#' @references A. Meucci, Exercises in Advanced Risk and Portfolio Management. \url{http://symmys.com/node/170}
#' @keywords data
NULL

#' @title US government yield curve and bond yield data
#'
#' @name fixedIncome
#'
#' @description US government yield curve and bond yield data for different dates.
#'
#' @docType data
#' @author Xavier Valls\email{flamejat@@gmail.com}
#' @references A. Meucci, Exercises in Advanced Risk and Portfolio Management. \url{http://symmys.com/node/170}
#' @keywords data
NULL

#' @title fX
#'
#' @name db_FX
#' @docType data
#' @author Xavier Valls\email{flamejat@@gmail.com}
#' @references A. Meucci, Exercises in Advanced Risk and Portfolio Management. \url{http://symmys.com/node/170}
#' @keywords data
NULL

#' @title parameters for the explicit factors / implicit loadings linear model
#'
#' @name linearModel
#'
#' @description parameters for the explicit factors / implicit loadings linear model.
#'
#' @docType data
#' @author Xavier Valls\email{flamejat@@gmail.com}
#' @references A. Meucci, Exercises in Advanced Risk and Portfolio Management. \url{http://symmys.com/node/170}
#' @keywords data
NULL

#' @title Time Series
#'
#' @name TimeSeries
#' @docType data
#' @author Xavier Valls\email{flamejat@@gmail.com}
#' @references A. Meucci, Exercises in Advanced Risk and Portfolio Management. \url{http://symmys.com/node/170}
#' @keywords data
NULL

#' @title Stock Series 
#'
#' @name StockSeries
#' @docType data
#' @author Xavier Valls\email{flamejat@@gmail.com}
#' @references A. Meucci, Exercises in Advanced Risk and Portfolio Management. \url{http://symmys.com/node/170}
#' @keywords data
NULL

#' @title db
#'
#' @name db
#' @docType data
#' @author Xavier Valls\email{flamejat@@gmail.com}
#' @references A. Meucci, Exercises in Advanced Risk and Portfolio Management. \url{http://symmys.com/node/170}
#' @keywords data
NULL

#' @title swaps
#'
#' @name swaps
#' @docType data
#' @author Xavier Valls\email{flamejat@@gmail.com}
#' @references A. Meucci, Exercises in Advanced Risk and Portfolio Management. \url{http://symmys.com/node/170}
#' @keywords data
NULL

#' @title bondAttribution
#'
#' @name bondAttribution
#' @docType data
#' @author Xavier Valls\email{flamejat@@gmail.com}
#' @references A. Meucci, Exercises in Advanced Risk and Portfolio Management. \url{http://symmys.com/node/170}
#' @keywords data
NULL

#' @title swapParRates
#'
#' @name swapParRates
#' @docType data
#' @author Xavier Valls\email{flamejat@@gmail.com}
#' @references A. Meucci, Exercises in Advanced Risk and Portfolio Management. \url{http://symmys.com/node/170}
#' @keywords data
NULL

#' @title stock returns by sectors
#'
#' @name sectorsTS
#' @docType data
#' @author Xavier Valls\email{flamejat@@gmail.com}
#' @references A. Meucci, Exercises in Advanced Risk and Portfolio Management. \url{http://symmys.com/node/170}
#' @keywords data
NULL

#' @title covNRets
#'
#' @name covNRets
#' @docType data
#' @author Xavier Valls\email{flamejat@@gmail.com}
#' @references A. Meucci, Exercises in Advanced Risk and Portfolio Management. \url{http://symmys.com/node/170}
#' @keywords data
NULL

#' @title Swaps for 2y and 4y
#'
#' @name swap2y4y
#' @docType data
#' @author Xavier Valls\email{flamejat@@gmail.com}
#' @references A. Meucci, Exercises in Advanced Risk and Portfolio Management. \url{http://symmys.com/node/170}
#' @keywords data
NULL

#' @title Panel X of joint returns realizations and vector p of respective probabilities for returns
#'
#' @name returnsDistribution
#' @docType data
#' @author Xavier Valls\email{flamejat@@gmail.com}
#' @references A. Meucci, "Fully Flexible Views: Theory and Practice", The Risk Magazine,
#' October 2008, p 100-106. \url{http://symmys.com/node/158}
#' @keywords data
NULL

#' @title Panel X of joint factors realizations and vector p of respective probabilities for factors
#'
#' @name factorsDistribution
#' @docType data
#' @author Xavier Valls\email{flamejat@@gmail.com}
#' @references A. Meucci, "Fully Flexible Views: Theory and Practice", The Risk Magazine,
#' October 2008, p 100-106. \url{http://symmys.com/node/158}
#' @keywords data
NULL

#' @title list of securities with analytics computed.
#'
#' @name butterfliesAnalytics
#' @docType data
#' @author Xavier Valls\email{flamejat@@gmail.com}
#' @references A. Meucci, "Fully Flexible Views: Theory and Practice", The Risk Magazine,
#' October 2008, p 100-106. \url{http://symmys.com/node/158}
#' @keywords data
NULL

#' @title scenarios table and prior distribution for changes in SWAP2YR SWAP10YR CDXIG S&P500 DollarIndex Crude Gold VIX 10YRInflationSwapRate
#'
#' @name freaqEst
#' @docType data
#' @author Xavier Valls\email{flamejat@@gmail.com}
#' @references A. Meucci, "Stress-Testing with Fully Flexible Causal Inputs" \url{http://symmys.com/node/152}
#' @keywords data
NULL


#' @title data from the sectors in the S&P 500
#'
#' @name sectorsSnP500
#' @docType data
#' @author Xavier Valls\email{flamejat@@gmail.com}
#' @references  Attilio Meucci, 2011, "Robust Bayesian Allocation". \url{http://symmys.com/node/102}
#' @keywords data
NULL