Articles by teramonagi

4th Japan.R meeting on December, 6

December 9, 2014 | teramonagi

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...]

SABR calibration on Shiny

September 16, 2013 | teramonagi

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...]

Changing world, Changing JGB term structure

November 10, 2011 | teramonagi

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...]

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

February 6, 2011 | teramonagi

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 | teramonagi

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 | teramonagi

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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