similar to: help on smoothing volatility surface..

I am trying to replicate part of the EuropeanOptionExample using my date. I have a data.frame containing all my inputs atm.vols<-subset(data.vols,moneyness==min); #Some days have the abs(moneyness) exactly between two strike prices, #Traders will alway price an option at the higher vol when selling it, so we will too.

Hello group, I am experimenting with parallel processing on my quad core Win 7 32 bit machine. Using these packages for the first time. I can see all my processor running at full performance when I use a smaller dataset require(snow) require(doSNOW) require(foreach) #change the 8 to however many cores\phys processors you have on your machine cl.tmp = makeCluster(rep("localhost",4),

This is my code i don't understand the error message: library(rgenoud) rm(list=ls()) set.seed(666) ######################################################### # As a first step, it is assumed that all input parameters are independent of ageing : ######################################################### InputDim <-20 # Max number of ageings in the inputs CPIRate <- rep(0.02 , InputDim ) #

Hi I'm trying to implement something similar to the following R snippet using C. I seem to have hit the wall on accessing class slots using C. library(fPortfolio) lppData <- 100 * LPP2005.RET[, 1:6] ewSpec <- portfolioSpec() nAssets <- ncol(lppData) setWeights(ewSpec) <- rep(1/nAssets, times = nAssets) ewPortfolio <- feasiblePortfolio( data = lppData, spec = ewSpec,

Estimate region of highest probabilty density Dear R-community I have data consisting of x and y. To each pair (x,y) a z value (weight) is assigned. With kde2d I can estimate the densities on a regular grid and based on this make a contour plot (not considering the z-values). According to an earlier post in the list I adjusted the kde2d to kde2d.weighted (see code below) to estimate the

Hello. I don't understand a particular output of portfolio.optim (tseries). I have 4 assets and the portfolio.optim returns an asset with weight equals to zero. If I do a portfolio.optim with 3 assets, without the asset with weight equals to zero, it returns a completely different result. That's I would expected the same weights as the run with 4 assets. Below the code. Thanks in

Hi, I am trying to find an elegant way to compute and store some frequently used matrices "on demand". The Matrix package already uses something like this for storing decompositions, but I don't know how to do it. The actual context is the following: A list has information about a basis of a B-spline space (nodes, order) and gridpoints at which the basis functions would be

HI there, I have been trying to use a code posted on R help to be able to calculate area under the curve for complicated data points and there seems to be an issue with the code: no "b" object found. I am not a good R user and can''t find were the problem is. Any help? Thanks!! This is the code ( as a test run I gave it this info because I know the answer: x<-seq(1:50)

Dear all, I am using GARCH (1,1) model to simulate volatility. But seems that I am missing something about how it works in R. The following code produces negative results, though vola cannot be. What is wrong here? library("fSeries") library("fGarch") spec = garchSpec(model = list(omega = 0.01, alpha = 0.13, beta = 0.86)) gat <- garchSim(spec, n = 10) Thanks a lot!

Dear everyone, i`m a german economics student, writing my master´s thesis about "Multivariate Volatility Models". After having read about theoretical aspects of Multivariate GARCH ans Stochastic Volatility Models, I would like to compare DCC-GARCH and DC-SV with help of an empirical application. I figuered out that one has to use MCMC-simulation-methods for that. Some days ago I

Dear All, I have loaded package(tseries), but when I run predict.garch(...) R tells me could not find function "predict.garch", however ?predict.garch shows me something. I am confused about this. How can I forecast garch volatility? I have tried: predict(...,n.ahead=...),give me fitted value predict(...,n),give me NA,NA

Dear All, i want to use garch model in return of stock. and the data should presence volatility cluster (Heteroscedasticity). Do you know how to test volatility cluster (the presence of heteroscedasticity) in series data of stock return in R? Is it using Langrange Multiplier (LM) ARCH test? what package i should use? I really need the help. Thanks for the attention. Eko A P

Hi, I want to calculate the Value at Risk with using some distirbutions and a volatility model. I use the following data(http://uploadeasy.net/upload/cdm3n.rar) which are losses (negative returns) of a company of approx. the last 10 years. So I want to calculated the Value at Risk, this is nothing else than the quantile. Since I have losses I consider the right tail of the distribution. Consider

Ok, I try it again with plain text, with a simple R code example and just sending it to the r list and you move it to sig finance if it is necessary. I try to be as detailed as possible. I want to fit a distribution to my financial data using a volatility model to estimate the VaR. So in case of a normal distribution, this would be very easy, I assume the returns to follow a normal distribution

Hi, I am looking for an R package that would calculate multivarite (mostly 2d and 3d, tensor) cubic interpolating splines, so that I could evaluate these splines (and their derivatives) at many points (unkown at the time of calculating the spline polynomials) repeatedly. To make things concrete, I have an array V with dim(V) = k and gridpoint vectors grid=list(...), length(grid[[i]])==k[i],

Anyone here trying any "high availability" strategies for mail servers? (Ralph what do you do?) I am reading up a little on DRBD + OCFS for a master/master setup but this doesn't seem to address how to avoid having a single master proxy process (assuming that we are running on rented equip and don't have ability to shift IP addresses around servers). It appears to be

Hi, I'm using Dovecot 2.0.9, and was trying to set up a dictionary process to use an sqlite database for quota management. The wiki page has examples for MySQL and PostgreSQL: http://wiki2.dovecot.org/Quota/Dict For sqlite, a trigger needs to be created to get it to work. But I was not sufficiently skilled in sqlite to adapt the PostgreSQL trigger (given on the above URL) for use. Nor

> On August 31, 2017 at 12:41 AM Raymond Sellars <Raymond.Sellars at orionhealth.com> wrote: > > > Hi > > Looking for some confirmation/direction on how to achieve the following. > > We have a requirement to support both SASL PLAIN and DIGEST-MD5 authentication (certification reasons). In addition to this we have an application (webmail) that utilises a master

Thanks -----Original Message----- From: Aki Tuomi [mailto:aki.tuomi at dovecot.fi] Sent: Friday, 1 September 2017 2:15 AM To: dovecot at dovecot.org; Raymond Sellars Subject: Re: Mixed Autehtnication and password schemes > The above not suggests I can't use DIGEST-MD5 with master password configuration, if using more than one passdb setup. I don't understand why there would be a

Hi Looking for some confirmation/direction on how to achieve the following. We have a requirement to support both SASL PLAIN and DIGEST-MD5 authentication (certification reasons). In addition to this we have an application (webmail) that utilises a master password pattern for access, as the contain web portal provides the necessary authentication. I have access to users passwords in PLAIN text