Rmetrics - Updates, Changes, and Enhancements


An Environment and Collection of Functions for Teaching
Financial Engineering and Computational Finance
with R


2004-07-04
UPDATES, CHANGES AND ENHANCEMENTS IN RMETRICS:

IMPORTANT NOTE:

Built 1091.10057 has been submitted to the CRAN server ...

Starting with Built 1090.10055 the packages should compile also under 
    Linux and Mac OSX ... 

Note, Rmetrics is build and tested under MS Windows XP (not under Linux)!


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Rmetrics VERSION 1091.10057


2004-07-04 Rmetrics
    The new version is now proofed to be Debian license conform 
    for all its functions.
    
2004-07-04 FAQ
    The FAQ file has been updated, now the FAQ's are providing more 
    information about Rmetrics.     
    
2004-07-04 fbasics/R
    In function .FirstLib we set a timezone if none found in 
    environment variables or options, as suggested by Dirk Eddelbuettel, 
    thanks Dirk.
    
2004-06-30 fExtremes/R
    A new utility function named "gridVector" has been added which
    creates all grid points from two vectors which span a rectangular 
    grid.
    
2004-06-29 fOptions/demo
    A new example file named "funDensitiesEBM.R" has been added
    which adds some distributions and related functions which are
    useful in the theory of exponential Brownian Motion.
    The functions compute densities and probabilities for the 
    log-Normal distribution, the Gamma distribution, the 
    Reciprocal-Gamma distribution, and the Johnson Type-I
    distribution. Functions are made available for the compution
    of moments including the Normal, the log-Normal, the
    Reciprocal-Gamma, and the Asian-Option Density. In addition
    a function is given to compute numerically first and second
    derivatives of a given function.
        
2004-06-29 fOptions/demo
    A new example file named "funSpecFunsEBM.R" has been added
    with special mathematical functions which are used in the 
    theory of exponential Brownian Motion. The functions included 
    are: In Part I, the Error Function "erf", the Psi or Digamma
    Function "Psi", the Incomplete Gamma Function "igamma", the
    Gamma Function fpr complex arguments, and the Pochhammer Symbol
    "Pochhammer". In Part II, the Confluent Hypergeometric Functions 
    of the 1st Kind and 2nd Kind "kummerM" and "kummerU", the
    Whittaker Functions "whittakerM" and "whittakerW" and the
    Hermite Polynomials "hermiteH"

2004-06-29 fOptions/demo
    A new example file named "xmpSpecFunsEBM.R" has been added
    which shows how to use Gamma Functions, Confluent Hypergeometric
    and related functions under R.  
        
2004-06-29 fSeries/R
    New functions to fit the parameters by the maximum log-likelihood
    method for the symmetric and skew Normal, Student-t with unit 
    variance, and generalized error distribution have been added.
                
2004-06-28 fBasics/demo
    A new example file "xmpImportForecasts.R" has been added including
    a function named "forecastsImport" to download monthly financial 
    market data from the "www.forecasts.org" web site. 

2004-06-28 fBasics/R
    A new function named "keystatsImport" has been added which 
    downloads key statistic and fundamental data for equities from 
    Yahoo's web site.
       
2004-06-25 fBasics/R
    The function "as.timeSeries" got two additional arguments which
    allow to pass dimension names and the timeDate format in POSIX
    notation to the returned "timeSeries" object.

2004-06-25 fSeries/R
    New functions "[dpqr]ged" and "[dpqr]sged" have been added which 
    compute density, distribution function, quantile function and 
    generate random variates for the symmetric and skew generalized 
    error distribution.

2004-06-25 fSeries/R
    New functions "[dpqr]std" and "[dpqr]sstd" have been added which 
    compute density, distribution function, quantile function and  
    generate random variates for the symmetric and skew Student-t 
    distribution with unit variance.

2004-06-25 fSeries/R
    New functions "[dpqr]snorm" have been added which compute density, 
    distribution function, quantile function and generate random 
    variates for the skew normal distribution. 
        
2004-06-25 fSeries/demo
    A new example file "xmpDistTESTskew.R" has been added with 
    integration tests for the skew normal, for the skew Student-t 
    with unit variance, and for the skew GED distribution.      
                
2004-06-25 fSeries/R
    New functions have been added which compute the Haeviside "H" and
    related functions; just another sign function "Sign", the delta 
    function "delta", the boxcar function "boxcar" and the ramp 
    function "ramp".
        
2004-06-24 fOptions/demo
    The 3D Plot functions for the generalized Black-Scholes option 
    prices and the sensitivities have been moved to the examples 
    located in the demo directory.

2004-06-14 fSeries/data
    The data sets from the book "The Econometric Modelling of 
    Financial Time Series" (2nd Edition) written by Terence C.
    Mills have been added to the data directory.
    
    + many other smaller improvements and fixings ...
    

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fBasics VERSION 1090.10056


2004-06-13 fbasics
    Some minor internal updates have been made to Rmetrics, now
    coming with version number 190.10056


________________________________________________________________________________
Rmetrics VERSION 1090.10055


2004-06-13 Rmetrics
    The new version should be compiled out of the box on MS Windows
    Linux, and Mac OSX Platforms. I tested it under Windows XP and 
    Debian Linux, and OSX. Binary packages for MS Windows and Source 
    packages can be found on www.rmetrics.org.
        
2004-06-11 fSeries/demo
    A new demo named "xmpSeriesFilter.R" has been added which discusses 
    time series filters under R and which implements a R function for 
    the Hodrick-Prescott filter.
        
2004-06-11 fBasics/demo
    The three demo files "xmpCor*.R", dealing with autocorrelations,
    the Taylor effect and the long memory behaviour of the NYSE
    Composite have been merged into one demo file.
        
2004-06-11 fBasics/demo
    A new demo file named "xmpCalChron.R" has been added which shows 
    how to manage chronological objects from R's contributed "chron" 
    package. The topics include, generation of objects, representation 
    of objects, mathematical operations, and object transformations.
        
2004-06-11 fBasics/demo
    A new demo file named "xmpCalPosix.R" has been added which shows   
    how to manage POSIXt objects from R's "base" package. The topics 
    include, generation of objects, representation of objects, mathematical 
    operations, and object transformations.
        
2004-06-09 fSeries/demo
    A new demo file named "xmpChaosMaps.R" has been added which shows 
    how to write R functions which generate chaotic time series models. 
    The functions are: "henonSim" simulates data from Henon Map, "ikedaSim" 
    from the "Ikeda Map", "logisticSim" from Logistic Map, "lorentzSim" 
    from the Lorentz Map, and "roesslerSim, from the Roessler Map.
        
2004-06-08 fBasics/src
    Thanks to James McCulloch the Builtin Fortran program named 
    "fBasics-symstb.f" which is called by the functions "dsymstb" and 
    "psymstb" is now under the GNU  GPL license.
        
2004-06-08 fBasics/src
    Thanks to Tierry Terneau the Builtin C program named "DATE-char_date.c"
    which is called by the function "fjulian" is now under the GNU GPL 
    license.

2004-06-08 fBasics/R
    The function "alignDailySeries" has been extended to handle
    multivariate time series objects.
        
2004-06-08 fBasics/R
    New test functions for testing normality have been added. This
    includes as Builtin functions the functions from R's contributed
    package "nortest" and a function for the D'Agostina normal test.
    
    + many other smaller improvements and fixings ...
        
                
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Rmetrics VERSION 1090.10054


2004-06-07 Rmetrics
    The new version should be compiled out of the box both on MS
    Windows and Linux Platforms. I tested it under Windows XP and 
    Debian Linux. Binary packages and Source packages can be found
    on www.Rmetrics.org.

2004-06-07 fBasics/demo/xmpDistDFssd.R
    Demo file added which demonstrates how to estimate probability  
    densities using smoothing spline ANOVA models with cubic spline,  
    linear spline, or thin-plate spline marginals for numerical 
    variables.

2004-06-07 fBasics/demo/xmpDistDFecfd.R
    Demo File added which demonstrates how to compute or plot an 
    empirical cumulative distribution function.

2004-06-07 fSeries/data/dem2gbp.csv
    Benchmark data file for GARCH modeling added.

2004-06-07 fSeries/demo/xmpRollingAnalysis.R
    Demo file added which implements two functions computing a Simple 
    Moving Average "SMA" and an Exponential Moving Average "EWMA"
    which can be used together with the book "Modelling Financial 
    Time Series with SPlus" written by E. Zivot and J. Wang.

2004-06-07 fSeries/deno/xmpRegOLS.R
    Demo file added which implements a simple OLS function which can  
    be used together with the book "Modelling Financial Time Series 
    with SPlus" written by E. Zivot and J. Wang.

2004-06-07 fSeries/demo/xmpMatrixAddonNA.R
    Demo file added which demonstates how to manage missing
    values in a matrix object. Included are functions to remove,
    to substitute, to interpolate and to impute missing values.

2004-06-07 fSeries/demo/xmpGarchOx.R
    Demo file which demonstrates how to interface R with the
    GarchOx package running under Ox. Note, Ox and GarchOx are
    not part of this distribution.

2004-06-07 fSeries/demo/xmpChaosMaps.R
    Demo file added which demonstrates how to generate some chaotic 
    time series models. These include the Henon map, the Ikeda Map,
    the Logistic map, the Lorenz map and the Roessler Map.
        
2004-06-07 fExtremes/demo/xmpEDAlargenumPlot.R
    Demo file added with two R functions "sllnPlot" and "lilPlot" 
    where the first verifies Kolmogorov's Strong Law of Large 
    Numbers and the second verifies Hartman-Wintner's Law of the 
    iterated logarithm.

2004-06-07 fExtremes/demo/xmpDISTmoments.R
    Demo file added with two R functions "gevMoments" and 
    "gpdMoments" which compute true mean and variance for the 
    Generalized Extreme Value distribution and for the 
    Generalized Pareto distribution.
        
2004-06-07 fOptions/demo/xmpTREEtrinomialOption.R
    Demo file added which shows how to write a function to compute 
    the call and put price of an European or American style option 
    using a trinomial tree approach.
    
    + many other smaller improvements and fixings ...

        
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Rmetrics VERSION 1090.10053


2004-06-04 fBasics/demo/xmpZW-Chapter-2.R
    Demo files added with examples from Chapter 2 of the book
    of Zivot and Wang "Modeling Financial Time Series with Splus".

2004-06-04 Rmetrics 
    Code parts from contributed packages are now integrated as
    BUILTIN functions (invisible for the user). That makes
    Rmetrics running out of the box on an R default installation
    and allows for a better unit testing.
        
2004-06-03 Rmetrics 
    Rmetrics goes unit testing. I decided to use the RUnit package
    for unit testing under Rmetrics.

2004-06-03 fBasics 
    Internal GNU Ical time/date concept improved, so that timeDate
    operations become faster and now also run under Debian Linux.
        
2004-06-03 fExtremes/fOptions 
    are now running out of the box under Debian Linux.

2004-06-02 Rmetrics 
    All keywords in the help pages have been replaced with R's 
    standardized keywords from the KEYWORD.db Database.

2004-06-02 fSeries 
    New functions have been added supporting "Matrix Arithmetics 
    and Linear Algebra". The help page summarizes selected functions 
    available under R and addititional functions are documented 
    which have been added by Rmetrics.

2004-05-01 fBasics 
    The Fortran Code for the hyperbolic distribution "hyp" has been 
    withdrawn and is now replaced by pur R code. The Random number 
    Generator implements "rhyperb" from R's "HyperbolicDist" package 
    written by David Scott.

2004-05-29 fBasics 
    The "timeDate" and "timeSeries" classes have been added to 
    the Rmetrics "fBasics" package. Also available are examples
    from Chapter 2 for the book "Modelling Financial Time Series
    with SPlus" written E. Zivot and J. Wang.

2004-05-28 Rmetrics 
    MS Windows specific features have been removed from the packages. 
    This is a precondition to build the packages in the future also 
    under Linux and Mac OSX.

2004-05-19 Rmetrics 
    readline() function in examples replaced by xmp* functions which
    allow for an optional interactive prompt, so that R CMD CHECK no 
    longer fails when the examples ask for a prompt. 

2004-05-03 fBasics 
    Installer and Updater "menu" added for installing and updating 
    packages from the "Rmetrics" server, (MS Windows only).
    
2004-04-29 fBasics 
    webImport: The functions "economagicImport" and "yahooImport" got  
    a new argument named "try" for testing the Internet connection. 
    So the program doesn't fail any longer if the Internet is down.
        
        
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Rmetrics VERSION 1081


2004-04-22 fOptions
    Two new functions added for valution of options by the binomial 
    tree method. These are: "JRBinomialTreeOption" and 
    "TIANBinomialTreeOption".
    
2004-04-21 fExtremes
    All "*Fit" functions which the parameter estimation functions 
    from the "evir" and "ismev" packages have now a common print, 
    plot and summary S3 method which deliver their output in the 
    same form.
        
2004-03-21 fExtremes
    A new function "interactivePlot" was added which allows for 
    plots in different ways by an argument named "which". If which 
    is a character string named "all" all plots are created, if 
    which is a logical vector of the length of the number of plots, 
    those plots are created which elements of this vector set "TRUE", 
    or if which a a character string named named "ask" the plots 
    interact with their user.
        
2004-02-14 fOptions
    New functions have been added for the valuation of options 
    by Monte Carlo simulations. These are: "wienerPath", 
    "plainVanillaPayoff", "arithmeticAsianPayoff", and 
    "MonteCarloOption".
    
2004-01-29 fBasics
    data: "*.csv" data files have now as delimiter a semicaolon 
    instead of a comma, thus we use R's default for *.csv files.

2004-01-29 fBasics
    "print.coefmat" was deprecated in R's Version 1.8.1, thus we 
    have it replaced by the current function "printCoefmat".

2004-01-29 fBasics
    "yahooImport" was updated due to format changes.

2004-01-29 fBasics
    "skewness" now support as input data.frame and POSIX objects. 
    New methods
      skewness.default(), skewness.data.frame(),
      skewness.POSIXct() and skewness.POSIXlt()
    were added.

2004-01-29 fBasics
    "kurtosis" now support as input data.frame and POSIX objects. 
    New methods
      kurtosis.default(), kurtosis.data.frame()
      kurtosis.POSIXct() and kurtosis.POSIXlt()
    were added.
        
2004-01-29 fSeries
    "regFit" has now S4 print, plot, summary and predict methods. 
    All methods are now integrated in one function with argument 
    "method" for selection.
        
2004-01-29 fSeries
    "lmTest" has now integrated all tests in one functions with 
    argument "method" for selection. The individual functions can 
    be used through the underlying "lmtest" package.

2004-01-29 fSeries
    The collection "technicalAnalysis" was devided into two 
    collections, the first is still "technicalAnalysis", the 
    added one is named "benchmarkAnalysis".

2004-01-23 fBasics
    "src/chardate.c" removed, now using R-package "date"