| QRMlib-package {QRMlib} | R Documentation |
This is a free R-language translation of the S-Plus library (QRMlib) designed to accompany the book Quantitative Risk Management: Concepts, Techniques and Tools by Alexander J. McNeil, Rudiger Frey and Paul Embrechts. It was built by Scott Ulman scottulman@hotmail.com. A separate S-Plus version of the library can be downloaded from Alexander McNeil's URL.
| Package: | QRMlib |
| Type: | Package |
| Version: | 1.4.4 |
| Date: | 2008-07-14 |
| Depends: | R(>= 2.7.0), methods, fSeries, mvtnorm, chron |
| Suggests: its,Hmisc License: | GPL version 2 or newer |
| URL: | http://www.ma.hw.ac.uk/~mcneil/book/index.html |
| Packaged: | July 07, 2008 |
| Built: | R 2.8.0dev; i386-pc-mingw32; 2008-07-07 12:00:00; windows |
The package provides an entire library of methods to investigate concepts associated with QRM, including Market Risk, Credit Risk, and Operational Risk, as developed in the textbook. Additionally, it contains a set of chapter scripts which can be used to build many of the graphs and tables in the text. Under the library folder, look for folders Chap2-Chap8 which contain the scripts.
The original S-Plus data files cac40, danish, DJ, dji, ftse100, FXGBP.RAW, hsi, nasdaq, nikkei, smi, sp500, xdax are all S-Plus ‘timeSeries’ object files.
Unfortunately, R-language has several different time-series classes, none of which coincides with the S-Plus version. The R-Metrics' class ‘timeSeries’ (contained in library fSeries) is the closest to an S-Plus timeSeries. RMetrics makes frequent significant changes in their timeSeries class. In fact, with R-2.6.0, RMetrics moved timeSeries from the fCalendar package to the fSeries package and made substantial changes. This of course caused necessary rewrites in QRMlib.
Although data files built in this R-language translation still use R-Metrics ‘timeSeries’ types, I am now including another set of datasets built as dataframes which you may try to use in your analyses. All data files are stored in the data subfolder of QRMlib. The timeSeries file types end with the extension .rda while the dataframe types end with the extension .df.R. See the section storeDataInWorkspace for further details about the files.
To automatically load the QRMlib package, see
profileLoadLibrary
To automatically load the data files and save them in the current workspace, see
storeDataInWorkspace
S-Plus Original by Alexander McNeil; R-language port by Scott Ulman
Maintainer: Scott Ulman <scottulman@hotmail.com> for R-language version
Quantitative Risk Management: Concepts, Techniques and Tools by Alexander J. McNeil, Rudiger Frey and Paul Embrechts
Princeton Press, 2005
QRMBook-workspace,
storeDataInWorkspace,
profileLoadLibrary