Blog Archives

Easy way to get yield curve : what you need is only "FRBData" package !

April 28, 2011
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Easy way to get yield curve : what you need is only "FRBData" package !

I made FRBData package and registerd it on CRAN.This package allow you to download financial data from FRB's website.This website provide many economical data such as consumer credit, money stock.This article show you how to use this package.(But, it has only a function about interest rate now. I will create other functions to download other macro-economical data in next version.)First,...

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Simple example:How to use foreach and doSNOW packages for parallel computation.

February 6, 2011
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update************************************************************************************************ I checked whether this example was run collectly or not in Windows XP(32bit) only !  ************************************************************************************************ In R language, the members at Revolution R provide foreach and doSNOW packages for parallel computation. these packages allow us to compute things in parallel. So, we start to install these packages. install.packages("foreach")install.packages("doSNOW") Created by Pretty R at inside-R.org In...

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Simple example:How to use foreach and doSNOW packages for parallel computation.

February 6, 2011
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update************************************************************************************************I checked whether this example was run collectly or not in Windows XP(32bit) only ! ************************************************************************************************In R language, the members at Revolution R provide foreach and doSNOW packages for parallel computation. these packages allow us to compute things in parallel. So, we start to install these packages.install.packages("foreach")install.packages("doSNOW")Created by Pretty R at inside-R.orgIn...

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Valuation of CDO with equal amount

January 17, 2011
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Bank of Japan(BOJ) publish research paper regularly.And, they issued very interesting paper about valuation of CDO recently.(The paper is 金融危機時における資産価格変動の相互依存関係:コピュラに基づく評価 新谷 幸平、山田 哲也、吉羽 要直(sorry,japanese only!))They introduced copula for pricing of CDO,and discussed how different CDO spreads were with using different copula for pricing.I would like to reproduce their result (especially,P23-Table7)The condition of calculation is following thatnumber of debt(NUM.REFDEBT):=100maturity(MATURITY):=5 yearrecovery rate(RECOVERY.RATE):=40%(constant value)probability of default (DEFAULT.PROBABILITY):=5%(in...

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Valuation of CDO with equal amount

January 17, 2011
By

Bank of Japan(BOJ) publish research paper regularly.And, they issued very interesting paper about valuation of CDO recently.(The paper is 金融危機時における資産価格変動の相互依存関係:コピュラに基づく評価 新谷 幸平、山田 哲也、吉羽 要直(sorry,japanese only!)) They introduced copula for pricing of CDO,and discussed how different CDO spreads were with using different copula for pricing.I would like to reproduce their result (especially,P23-Table7)The condition of calculation is following that number of debt(NUM.REFDEBT):=100 maturity(MATURITY):=5 year recovery rate(RECOVERY.RATE):=40%(constant value) probability of default (DEFAULT.PROBABILITY):=5%(in...

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Principal component analysis to yield curve change

December 19, 2010
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Principal component analysis to yield curve change

In quantitive finance,it is often said that yield curve change is explained by three factor,"parallel shift", "twist" and "butterfly".Because I found that we can get historical yield curve data from FRB's web site, I check whether these proverbial facts are correct or not.Yield curve data can be downloaded to click "Go to download" and "Download File" button. Default data...

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Principal component analysis to yield curve change

December 19, 2010
By
Principal component analysis to yield curve change

In quantitive finance,it is often said that yield curve change is explained by three factor,"parallel shift", "twist" and "butterfly".Because I found that we can get historical yield curve data from FRB's web site, I check whether these proverbial facts are correct or not.Yield curve data can be downloaded to click "Go to download" and "Download File" button. Default data...

Read more »