Blog Archives

R for Quants, Part II (A)

February 16, 2012
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R for Quants, Part II (A)

This is the second part in a three part series on teaching R to MFE students at CUNY Baruch. The …Continue reading »

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R for Quants, Part I (B)

February 13, 2012
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R for Quants, Part I (B)

This is a continuation of the R workshop I’m teaching at the Baruch MFE program. This section discusses the programming …Continue reading »

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R for Quants, Part I.A

February 12, 2012
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R for Quants, Part I.A

I’m teaching an R workshop for the Baruch MFE program. This is the first installment of the workshop and focuses on …Continue reading »

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Zero rates with futile.paradigm

February 8, 2012
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Zero rates with futile.paradigm

Here’s a short example of calculating zero rates and discount factors from cash rates using futile.paradigm. Of note is how …Continue reading »

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What’s new in futile.matrix 1.1.2

February 7, 2012
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What’s new in futile.matrix 1.1.2

This is an exciting release of futile.matrix, which in some ways the package grows up and finds its purpose. It …Continue reading »

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What’s new in futile.paradigm 2.0.4

February 6, 2012
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What’s new in futile.paradigm 2.0.4

Well this certainly took a while but the latest installment of my functional dispatching library for R is finally released …Continue reading »

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Penny pinching yields pennies

January 26, 2012
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Penny pinching yields pennies

A Greek Professor of Economics has written up a thought-provoking series of articles on complexity fetishism. As part of his …Continue reading »

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Random matrix theory and APT’s daily global model

January 25, 2012
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Random matrix theory and APT’s daily global model

Someone emailed me recently and asked about how APT uses random matrix theory in their factor model. Another question I …Continue reading »

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Teaser: Running R as a map/reduce job from Riak

August 17, 2011
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Teaser: Running R as a map/reduce job from Riak

Alliterations aside, here is a preview of something I’ve been tinkering with. My goal is to be able to run …Continue reading »

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Calculating DV01 using futile.paradigm

April 25, 2011
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Calculating DV01 using futile.paradigm

Here’s a short example of using the futile.paradigm for calculating the DV01 of a bond. The basic idea is to …Continue reading »

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