Blog Archives

F# interfacing with R using SmithWilsonYieldCurve

March 18, 2014
By

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

September 8, 2013
By
The Problem with Percentiles

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...

Read more »

An R package for Smith-Wilson yield curves

June 19, 2013
By
An R package for Smith-Wilson yield curves

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...

Read more »

Integrating Documentation and Calculation

April 30, 2013
By

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...

Read more »

Solvency 2 WordCloud

September 21, 2011
By

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/show/wrdl/4111834/Solvency_2We're not convinced about the utility of WordClouds, but they look cool....

Read more »