This is a free R-language library designed to accompany the book Quantitative Risk Management: Concepts, Techniques and Tools by Alexander J. McNeil, Rudiger Frey and Paul Embrechts. A separate SPlus version can be downloaded from Alexander McNeil's URL at http://www.ma.hw.ac.uk/~mcneil/book/QRMlib.html
| Version: | 1.4.4 |
| Depends: | R(≥ 2.7.0), methods, fSeries, mvtnorm, chron |
| Published: | 2008-07-14 |
| Author: | Alexander McNeil for S-Plus original; R port by Scott Ulman |
| Maintainer: | R-language version by Scott Ulman <scottulman at hotmail.com> |
| License: | GPL (≥ 2) |
| URL: | http://www.ma.hw.ac.uk/~mcneil/book/index.html |
| In views: | Finance |
| CRAN checks: | QRMlib results |
| Package source: | QRMlib_1.4.4.tar.gz |
| MacOS X binary: | QRMlib_1.4.4.tgz |
| Windows binary: | QRMlib_1.4.4.zip |
| Reference manual: | QRMlib.pdf |
| Old sources: | QRMlib archive |