Blog Archives

F# interfacing with R using SmithWilsonYieldCurve

March 18, 2014
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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, ...

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The Problem with Percentiles

September 12, 2013
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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 that we normally use them without thinking, which I was doing until an issue came up at...

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An R package for Smith-Wilson yield curves

June 19, 2013
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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 data such that the observed prices of market instruments are replicated, and it produces a function which...

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Integrating Documentation and Calculation

April 30, 2013
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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 unusable. The fact is that...

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Solvency 2 WordCloud

September 21, 2011
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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....

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