Articles by teramonagi

4th Japan.R meeting on December, 6

December 9, 2014 | 0 Comments

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. ... [Read more...]

Visualize violent crime rates in US with choroplethr package

April 11, 2014 | 0 Comments

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 ... [Read more...]

Seamless analytical environment by WDI, dplyr, and rMaps

March 22, 2014 | 0 Comments

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. Let me explain how we can Get data(... [Read more...]

SABR calibration on Shiny

September 16, 2013 | 0 Comments

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 | 0 Comments

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 ...
[Read more...]

Changing world, Changing JGB term structure

November 10, 2011 | 0 Comments

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 | 0 Comments

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 | 0 Comments

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 ... [Read more...]

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

July 6, 2011 | 0 Comments

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...]

Another way to use R in Excel for .NET programmer

July 5, 2011 | 0 Comments

As you know, RExcel give us a way to combine R with Excel.But, It just bothering to install some COMs and maybe not be programming but excel manipulation!If you are a .NET programmer, there is another way to call R from Excel.I would like to ... [Read more...]

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

February 6, 2011 | 0 Comments

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("... [Read more...]

Valuation of CDO with equal amount

January 17, 2011 | 0 Comments

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 ... [Read more...]

Principal component analysis to yield curve change

December 19, 2010 | 0 Comments

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 ... [Read more...]

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