The opVaR package by Anna Patrycja Zalewska is mentioned here and available for download:
http://mi2.mini.pw.edu.pl/index.php/nasze-projekty/
however that download appears to be a binary built package for R version 2.9.
The "License" field in the DESCRIPTION file says "GPL-3", which means it should be distributed with source code, or a way to get the source code. It seems not to be.
So I've attempted to reverse engineer an R version 3+ compatible source package.
There's still a lot to do, but you should be able to load it using devtools
. Download the files in this repository
as a folder called opVaR
, and then use load_all
. It wont work as an installed package until all the import/export
stuff is done. Also, you may have to install the dependencies manually (colorspace
, vcd
and SuppDists
).
> library(devtools)
> load_all("path/to/opVaR")
> ls(pos=3)
[1] "dtriangle" "fit.plot" "hist.period"
[4] "key.sum" "loss.density" "loss.fit.dist"
[7] "loss.matrix" "loss.matrix.image" "mc"
[10] "period.loss" "print.fitplot" "print.lf"
[13] "ptriangle" "qtriangle" "read.loss"
[16] "root.period" "rtriangle"
> data(loss.data.object)
> loss.data.object$blines[1] # business line "Agency Services"
[1] "Agency Services"
> loss.data.object$rcateg[2] # risk category "Clients, Products & Business Practices"
[1] "Clients, Products & Business Practices"
> x<- read.loss(1,2,loss.data.object) # reads losses (dates and amounts)
> head(x)
First_Date_of_Event Gross_Loss_Amount
2 2010-01-02 15485.24
7 2010-01-05 252095.01
8 2010-01-06 52635.05
10 2010-01-07 252390.48
13 2010-01-07 169054.77
14 2010-01-08 32316.33
I've no idea what this package does, so read the help and figure it out yourself. The help pages seem to work.
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