Man pages for GARPFRM
Global Association of Risk Professionals: Financial Risk Manager
| 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 |
