Package: Trading
Type: Package
Title: CCR, Entropy-Based Correlation Estimates & Dynamic Beta
Version: 2.1
Date: 2020-08-11
Author: Tasos Grivas
Maintainer: Tasos Grivas <info@openriskcalculator.com>
Description: Contains performance analysis metrics of track records including entropy-based
            correlation and dynamic beta based on the Kalman filter. The normalized sample entropy method
            has been implemented which produces accurate entropy estimation even on smaller datasets while for
            the dynamic beta calculation the Kalman filter methodology has been utilized.
            On a separate stream, trades from the five major assets classes and also
            functionality to use pricing curves, rating tables, CSAs and add-on tables. The
            implementation follows an object oriented logic whereby each trade inherits from
            more abstract classes while also the curves/tables are objects. There is a lot
            of functionality focusing on the counterparty credit risk calculations however
            the package can be used for trading applications in general.
Imports: methods, reticulate, PerformanceAnalytics
URL: https://openriskcalculator.com/
License: GPL-3
LazyData: TRUE
Collate: 'onLoad.R' 'AngularDistance.R' 'Future.R' 'Swap.R' 'Vol.R'
        'Option.R' 'Trade.R' 'IRD.R' 'Bond.R' 'CSA.R'
        'Chebyshev_distance.R' 'Other.R' 'Collateral.R' 'Commodity.R'
        'Credit.R' 'CrossSampleEntropy.R' 'Curve.R' 'DynamicBeta.R'
        'Equity.R' 'FX.R' 'GetTradeDetails.R' 'HashTable.R'
        'InformationAdjustedBeta.R' 'InformationAdjustedCorr.R'
        'NormXASampEn.R' 'ParseTrades.R' 'SampleEntropy.R'
        'VariationOfInformation.R' 'SelectDerivatives.R'
RoxygenNote: 7.1.1
NeedsCompilation: no
Packaged: 2020-08-11 23:08:06 UTC; rforge
Repository: CRAN
Repository/R-Forge/Project: ccr
Repository/R-Forge/Revision: 37
Repository/R-Forge/DateTimeStamp: 2020-08-11 22:53:18
Date/Publication: 2020-08-12 11:30:07 UTC
