Tutorial: Rmetrics

presented by Diethelm Würtz

Rmetrics is the premier open source solution for financial market analysis and valuation of financial instruments. With hundreds of functions build on modern and powerful methods Rmetrics combines exploratory data analysis and statistical modeling with object oriented rapid prototyping. Rmetrics is embedded in R, both building an environment which creates especially for students and researchers in the third world a first class system for applications in statistics and finance. Rmetrics allows you to study all the source code, so you can find out precisely which variation of the algorithm or method has been implemented. This let's you understand what the source code does. Thus Rmetrics can be considered as a unique platform ideally suited for teaching financial engineering and computational finance.

Outline:

1. Rmetrics Overview - Hundreds of Functions:
   About 40 Minutes

   • fBasics, fCalendar, fSeries, fMultivar, fExtremes, fCopulae, fTickdata, fPortfolio, fBonds

2. Selected Topics - Use state of the Art Algorithms:
   Each Topic takes about 20 Minutes (100 Minutes)

   • timeDate and timeSeries Objects
   • Garch Time Series Modelling
   • Dependence Structures and Copulae
   • Exponential Brownian Motion: Asian Options
   • Yield Curve Modelling

3. Rmetrics Graphical User Interface - Work interactively:
   

   About 20 Minutes

   • fBrowser GUI

4. Rmetrics Programming - Write functions by your own:
   About 20 Minutes

   • Rmetrics Naming and Coding Conventions
   • Rmetrics and SPlus Compatibility
   • Rmetrics miniChapters for Splus

References:

1. Homepage of Rmetrics: www.rmetrics.org
2. Diethelm Würtz, Rmetrics - Financial Engineering and Computational Finance, A Practitioner's Guide for R and SPlus Programmers, A Monograph, forthcoming Spring 2006, about 850 pages.

Additional material:

A flyer in pdf-format can be downloaded from here.

Back to Tutorials