GARPFRM: Global Association of Risk Professionals: Financial Risk Manager

R package for Global Association of Risk Professionals: Financial Risk Manager

Author
Ross Bennett and Thomas Fillebeen
Date of publication
2015-02-07 17:16:00
Maintainer
Thomas Fillebeen <tdf17@uw.edu>
License
GPL
Version
0.1.0

View on R-Forge

Man pages

backtestVaR
Backtest Value-at-Risk (VaR)
backtestVaR.GARCH
GARCH Model VaR Backtest
bondConvexity
Calculate the convexity of a fixed rate coupon bond
bondDuration
Calculate the duration of a bond
bondFullPrice
bondFullPrice
bondPrice
Estimate price of bond
bondSpec
Constructor for bond specification
bondYTM
Calculate the yield to maturity of a bond
bootCor
Bootstrap Correlation
bootCov
Bootstrap Covariance
bootES
Bootstrap Expected Shortfall
bootFUN
Bootstrap
bootMean
Bootstrap Mean
bootSD
Bootstrap Standard Deviation
bootSimpleVolatility
Bootstrap Simple Volatility
bootStdDev
Bootstrap StdDev
bootVaR
Bootstrap Value at Risk
CAPM
Capital Asset Pricing Model
chartSML
CAPM SML
compoundingRate
Estimate continuously conpounding rate to be used in term...
computeGreeks
Option Greeks
consumption
consumption data
discountFactor
Estimate discountFactor
efficientFrontier
Efficient Frontier
efficientFrontierTwoAsset
Efficient Frontier for Portfolio of Two Assets
endingPrices
Ending Prices of Monte Carlo Simulation
estimateLambdaCor
Estimated Lambda
estimateLambdaCov
Estimated Lambda
estimateLambdaVol
Estimated Lambda
EWMA
EWMA Model
fama_french_factors
Factors for the Fama/French 3 factor model
forecast
Model Forecasting
forecast.uvEWMAvol
Forecast Univariate EWMA Volatility Model
forecast.uvGARCH
Forecast Univariate GARCH Models
GARP_FRM-package
Functions to implement the topics presented in 'Financial...
getAlphas
CAPM alphas
getBetas
CAPM betas
getCor
EWMA Correlation
getCov
EWMA Covariance
getEstimate
Get Estimated Values
getFit
Get Fitted GARCH Model
getLoadings
Retrieve PCA loadings
getSpec
Get GARCH Model Specification
getStatistics
CAPM statistics
getVaREstimates
VaR Estimates Extract VaR Estimates from a VaR Backtest
getVaRViolations
VaR Violations Extract VaR Violations from a VaR Backtest
getWeights
Retrieve PCA weights
hypTest
CAPM Hypothesis Test
impliedVolatility
Implied Volatility
impliedVolBS
Implied Volatility Bisection Method
is.bond
To determine if user is specifying bond parameters correctly
largecap.ts
CRSP Large Cap Monthly Returns
largecap_weekly
CRSP Large Cap Weekly Returns
linearHedge
Estimate the delta hedge of for a bond
microcap.ts
CRSP Micro Cap Monthly Returns
microcap_weekly
CRSP Micro Cap Weekly Returns
midcap.ts
CRSP Mid Cap Monthly Returns
midcap_weekly
CRSP Mid Cap Weekly Returns
minVarPortfolio
Minimum Variance Portfolio
monteCarlo
Monte Carlo Price Path Simulation
optionSpec
Option Specification
optionValue
Option Value
PCA
Estimate PCA loadings and create a PCA object
plot.backtestVaR
Plotting for VaR Backtest
plot.capm_mlm
Plotting method for CAPM
plot.capm_uv
Plotting method for CAPM
plot.efficient.frontier
Efficient Frontier Plot
plot.efTwoAsset
Efficient Frontier Plot
plotEndingPrices
Plot Ending Prices
plot.EWMA
Plot EWMA Model Estimates
plot.PCA
Plotting method for PCA
plot.uvGARCH
Plot GARCH Model
portReturnTwoAsset
Portfolio Return for a Portfolio of Two Assets
portSDTwoAsset
Portfolio Standard Deviation for a Portfolio of Two Assets
prices
Equity Prices
realizedCor
Realized Correlation
realizedCov
Realized Covariance
realizedVol
Realized Volatility
returns
Equity Returns
rollCor
Rolling Correlation Estimate
rollCov
Rolling Covariance Estimate
rollSD
Rolling Standard Deviation Estimate
rollSimpleVolatility
Rolling Simple Volatility Estimate
simpleVolatility
Simple Volatility
smallcap.ts
CRSP Small Cap Monthly Returns
smallcap_weekly
CRSP Small Cap Weekly Returns
spotForwardRates
Estimate spot and forward rates
tangentPortfolio
Tangent Portfolio
uvGARCH
Univariate GARCH Model
vasicekPrice
There are three main types of yield curve shapes: normal,...
yieldCurveVasicek
Estimate Vasicek zero-coupon yield
ytmSolve
Solve for the yield to maturity of a bond

Files in this package

GARPFRM/DESCRIPTION
GARPFRM/NAMESPACE
GARPFRM/R
GARPFRM/R/EWMA.R
GARPFRM/R/backTestVaR.R
GARPFRM/R/boot.R
GARPFRM/R/capm.R
GARPFRM/R/discountFactorArbitrage.R
GARPFRM/R/efficient_frontier.R
GARPFRM/R/garch11.R
GARPFRM/R/generic_forecast.R
GARPFRM/R/monte_carlo.R
GARPFRM/R/options.R
GARPFRM/R/riskMetricsAndHedges.R
GARPFRM/R/rollFUN.R
GARPFRM/R/utils.R
GARPFRM/R/volatility.R
GARPFRM/README
GARPFRM/data
GARPFRM/data/bonds.rda
GARPFRM/data/consumption.csv.gz
GARPFRM/data/consumption.rda
GARPFRM/data/crsp.short.rda
GARPFRM/data/crsp_weekly.rda
GARPFRM/data/fama_french_factors.rda
GARPFRM/data/prices.rda
GARPFRM/data/returns.rda
GARPFRM/data/treasuryts.rda
GARPFRM/demo
GARPFRM/demo/00Index
GARPFRM/demo/DataAccess.R
GARPFRM/demo/DelineatingEfficientPortfolios.R
GARPFRM/demo/EWMA.R
GARPFRM/demo/EstimatingVolatilitiesCorrelation.R
GARPFRM/demo/Fixed.R
GARPFRM/demo/MonteCarloMethods.R
GARPFRM/demo/PerformanceMeasures.R
GARPFRM/demo/QuantifyingVolatilityVaRModels.R
GARPFRM/demo/QuantitativeAnalysisBasics.R
GARPFRM/demo/RiskMetricsAndHedges.R
GARPFRM/demo/backtest_VaR.R
GARPFRM/demo/bootstrap.R
GARPFRM/demo/demo_CAPM.R
GARPFRM/demo/demo_EWMA_GARCH11.R
GARPFRM/demo/monte_carlo.R
GARPFRM/demo/univariate_GARCH.R
GARPFRM/inst
GARPFRM/inst/doc
GARPFRM/inst/doc/CAPM_TF.pdf
GARPFRM/inst/doc/DataAccess.pdf
GARPFRM/inst/doc/DelineatingEfficientPortfolios.pdf
GARPFRM/inst/doc/EstimatingVolatilitiesCorrelation.pdf
GARPFRM/inst/doc/MonteCarloMethods.pdf
GARPFRM/inst/doc/PerformanceMeasures.pdf
GARPFRM/inst/doc/QuantifyingVolatilityVaRModels.pdf
GARPFRM/inst/doc/QuantitativeAnalysisBasics.pdf
GARPFRM/inst/doc/WebApplications.pdf
GARPFRM/man
GARPFRM/man/CAPM.Rd
GARPFRM/man/EWMA.Rd
GARPFRM/man/GARP_FRM-package.Rd
GARPFRM/man/PCA.Rd
GARPFRM/man/backtestVaR.GARCH.Rd
GARPFRM/man/backtestVaR.Rd
GARPFRM/man/bondConvexity.Rd
GARPFRM/man/bondDuration.Rd
GARPFRM/man/bondFullPrice.Rd
GARPFRM/man/bondPrice.Rd
GARPFRM/man/bondSpec.Rd
GARPFRM/man/bondYTM.Rd
GARPFRM/man/bootCor.Rd
GARPFRM/man/bootCov.Rd
GARPFRM/man/bootES.Rd
GARPFRM/man/bootFUN.Rd
GARPFRM/man/bootMean.Rd
GARPFRM/man/bootSD.Rd
GARPFRM/man/bootSimpleVolatility.Rd
GARPFRM/man/bootStdDev.Rd
GARPFRM/man/bootVaR.Rd
GARPFRM/man/chartSML.Rd
GARPFRM/man/compoundingRate.Rd
GARPFRM/man/computeGreeks.Rd
GARPFRM/man/consumption.Rd
GARPFRM/man/discountFactor.Rd
GARPFRM/man/efficientFrontier.Rd
GARPFRM/man/efficientFrontierTwoAsset.Rd
GARPFRM/man/endingPrices.Rd
GARPFRM/man/estimateLambdaCor.Rd
GARPFRM/man/estimateLambdaCov.Rd
GARPFRM/man/estimateLambdaVol.Rd
GARPFRM/man/fama_french_factors.Rd
GARPFRM/man/forecast.Rd
GARPFRM/man/forecast.uvEWMAvol.Rd
GARPFRM/man/forecast.uvGARCH.Rd
GARPFRM/man/getAlphas.Rd
GARPFRM/man/getBetas.Rd
GARPFRM/man/getCor.Rd
GARPFRM/man/getCov.Rd
GARPFRM/man/getEstimate.Rd
GARPFRM/man/getFit.Rd
GARPFRM/man/getLoadings.Rd
GARPFRM/man/getSpec.Rd
GARPFRM/man/getStatistics.Rd
GARPFRM/man/getVaREstimates.Rd
GARPFRM/man/getVaRViolations.Rd
GARPFRM/man/getWeights.Rd
GARPFRM/man/hypTest.Rd
GARPFRM/man/impliedVolBS.Rd
GARPFRM/man/impliedVolatility.Rd
GARPFRM/man/is.bond.Rd
GARPFRM/man/largecap.ts.Rd
GARPFRM/man/largecap_weekly.Rd
GARPFRM/man/linearHedge.Rd
GARPFRM/man/microcap.ts.Rd
GARPFRM/man/microcap_weekly.Rd
GARPFRM/man/midcap.ts.Rd
GARPFRM/man/midcap_weekly.Rd
GARPFRM/man/minVarPortfolio.Rd
GARPFRM/man/monteCarlo.Rd
GARPFRM/man/optionSpec.Rd
GARPFRM/man/optionValue.Rd
GARPFRM/man/plot.EWMA.Rd
GARPFRM/man/plot.PCA.Rd
GARPFRM/man/plot.backtestVaR.Rd
GARPFRM/man/plot.capm_mlm.Rd
GARPFRM/man/plot.capm_uv.Rd
GARPFRM/man/plot.efTwoAsset.Rd
GARPFRM/man/plot.efficient.frontier.Rd
GARPFRM/man/plot.uvGARCH.Rd
GARPFRM/man/plotEndingPrices.Rd
GARPFRM/man/portReturnTwoAsset.Rd
GARPFRM/man/portSDTwoAsset.Rd
GARPFRM/man/prices.Rd
GARPFRM/man/realizedCor.Rd
GARPFRM/man/realizedCov.Rd
GARPFRM/man/realizedVol.Rd
GARPFRM/man/returns.Rd
GARPFRM/man/rollCor.Rd
GARPFRM/man/rollCov.Rd
GARPFRM/man/rollSD.Rd
GARPFRM/man/rollSimpleVolatility.Rd
GARPFRM/man/simpleVolatility.Rd
GARPFRM/man/smallcap.ts.Rd
GARPFRM/man/smallcap_weekly.Rd
GARPFRM/man/spotForwardRates.Rd
GARPFRM/man/tangentPortfolio.Rd
GARPFRM/man/uvGARCH.Rd
GARPFRM/man/vasicekPrice.Rd
GARPFRM/man/yieldCurveVasicek.Rd
GARPFRM/man/ytmSolve.Rd
GARPFRM/sandbox
GARPFRM/sandbox/CAPM_TF.R
GARPFRM/sandbox/Correlation_Volatility_TF.Rnw
GARPFRM/sandbox/GARPFRM_Outline.Rmd
GARPFRM/sandbox/crsp_weekly_data.R
GARPFRM/sandbox/equity_data_download.R
GARPFRM/sandbox/garch_models.R
GARPFRM/sandbox/loop_rollapply_benchmark.R
GARPFRM/sandbox/oldEWMA.R
GARPFRM/sandbox/principleComponent.R
GARPFRM/sandbox/project_plan
GARPFRM/sandbox/project_plan/project_plan.pdf
GARPFRM/sandbox/project_plan/project_plan.tex
GARPFRM/sandbox/quantifying_vol.R
GARPFRM/sandbox/regression_example.R
GARPFRM/sandbox/ross_EWMA.R
GARPFRM/sandbox/test_EWMA_GARCH.R
GARPFRM/sandbox/test_VaR.R
GARPFRM/sandbox/test_boot.R
GARPFRM/sandbox/test_capm.R
GARPFRM/sandbox/test_capm_rb.R
GARPFRM/sandbox/test_discountFactorArbitrage.R
GARPFRM/sandbox/test_kirk.R
GARPFRM/sandbox/test_options.R
GARPFRM/sandbox/test_performance_measure.r
GARPFRM/sandbox/vignette_to_demo.R
GARPFRM/vignettes
GARPFRM/vignettes/BSM_and_Greeks.Rnw
GARPFRM/vignettes/BinomialTrees.Rnw
GARPFRM/vignettes/CAPM_TF.Rnw
GARPFRM/vignettes/CAPM_TF.lyx
GARPFRM/vignettes/DataAccess.Rnw
GARPFRM/vignettes/DataAccess.lyx
GARPFRM/vignettes/DelineatingEfficientPortfolios.Rnw
GARPFRM/vignettes/EstimatingVolatilitiesCorrelation.Rnw
GARPFRM/vignettes/EstimatingVolatilitiesCorrelation.lyx
GARPFRM/vignettes/FixedIncome.lyx
GARPFRM/vignettes/GARPFRM.bib
GARPFRM/vignettes/HedgeMetrics.lyx
GARPFRM/vignettes/MonteCarloMethods.Rnw
GARPFRM/vignettes/PerformanceMeasures.Rnw
GARPFRM/vignettes/QuantifyingVolatilityVaRModels.Rnw
GARPFRM/vignettes/QuantitativeAnalysisBasics.Rnw
GARPFRM/vignettes/WebApplications.Rnw