My friend and intermittent colleague Phil Brooks over at F# for Actuaries (http://fsharpactuary.blogspot.co.uk/) is using my SmithWilsonYieldCurve package to demonstrate how to call R from F#. This is a language which has been on my radar for a while, ... [Read more...]

The Problem with Percentiles Percentiles (or, more accurately, quantiles) are deeply embedded in the psyche of actuaries, statisticians and similar beasts. They are referred to implicitly in the Solvency 2 directive (Article 100, Value at Risk) without explanation. They are so ingrained that we normally use them without thinking, which I was ... [Read more...]

Yield Curve fitting - the Smith-Wilson method Yield Curve fitting - the Smith-Wilson method This article illustrates the R package SmithWilsonYieldCurve, and provides some additional background on yield curve fitting. The method implemented in the package fits a curve to interest rate market data such that the observed prices of ... [Read more...]

Integrating Documentation and Calculation Integrating Documentation and Calculation This post is a first in that I've authored it using RStudio. I would guess most people who work in computational finance or quantitative risk are at least familiar with R. Unfortunately R as it existed until two years ago was borderline ... [Read more...]

Slow day at PSY headquarters: Click see wordleWe grabbed the Solvency II directive text from the EC website (© European Union, http://eur-lex.europa.eu/) and ran it through a couple of lines of R code to draw up wordcount frequencies. Then we plotted the text in Wordlehttp://www.wordle.net/... [Read more...]