Blog Archives

The time series of JGB Interest Rate(10Y) over the last one year

January 29, 2015
By

World wide quantitative easing does not seem to end. I live and work in Japan which has the lowest interest rate.Thanks to Quandl and RStudio, I can easily get the data of the interest rate and visualize it with R and dygraphs ...

Read more »

4th Japan.R meeting on December, 6

December 9, 2014
By
4th Japan.R meeting on December, 6

We had an exciting meeting "Japan.R" with many talks on last Saturday.(I should have made an advance notice.) (This is the picture of our venue. Thanks FreakOut!!!)We are so pleased that many participants(over 200!!!) enjoyed the talks and have a great relationship each other in pizza party. The following link is the...

Read more »

Visualize violent crime rates in US with choroplethr package

April 11, 2014
By
Visualize violent crime rates in US with choroplethr package

Visualize violent crime rates in different US States with choroplethr package Visualize violent crime rates in different US States with choroplethr package I knew choroplethr package by the blog post Animated Choropleths in R a few days ago. As a another visualization tool in R language, I wana try this one. To install the...

Read more »

Seamless analytical environment by WDI, dplyr, and rMaps

March 22, 2014
By

Recently I found that My R Guru @ramnath_vaidya is developping a new visualization package rMaps. I was so excited when I saw it for the first time and I think that it's really awesome for plotting any data on a map....

Read more »

SABR calibration on Shiny

September 16, 2013
By

As you already know(if you often use R!!), Shiny allows us to create web applications in R easily. It doesn't require the knowledge of HTML, CSS, javascript, I mean, we don't need to write HTML, CSS and javascript directly to create web application.The...

Read more »

Pricing defaultable discount bond with reduced form model

February 14, 2012
By
Pricing defaultable discount bond with reduced form model

I often use R language to write "prototype" program. As you know, It has very high productivity and smart grammar. In this article, I would like to show you how to write the program to evaluate the price of defaultable bond by "reduced-form model".Before write a program, we need to understand how to price these bond.Under risk neutral measure, we can...

Read more »

Changing world, Changing JGB term structure

November 10, 2011
By
Changing world, Changing JGB term structure

Writing the article "How much does "Beta" change depending on time?", I learned how to create an animation by using R language. Then, I would like to continue do that in this article.In this article, I visualize time series of JGB term struct...

Read more »

How much does "Beta" change depending on time?

November 1, 2011
By
How much does "Beta" change depending on time?

You may often use "Beta" to measure the market exposure of your portfolio because it's easy to calculate.Since I have been wondering how much "Beta" change depending on time, more precisely writing, data-set and the period of return time series, I...

Read more »

Pair trading strategy : how to use "PairTrading" package

October 25, 2011
By
Pair trading strategy : how to use "PairTrading" package

Mr.Ishikawa(my old friend) and I developed "PairTrading" package, and uploaded it on CRAN.This article shows you how you can use it.The pair trading is a market neutral trading strategy and gives traders a chance to profit regardless of market conditions. The idea of this strategy is quite simple. 1 : Select two stocks(or any assets) moving similarly 2 : Short...

Read more »

Yet another way to use R in Excel for .NET programmer

July 6, 2011
By
Yet another way to use R in Excel for .NET programmer

I wrote the article whose title is "Another way to use R in Excel for .NET programmer" last night.In that article, We need to use IDE to write C# program.On ther other hand, Excel-DNA give us easier way to create XLL.Let me show you one ...

Read more »