The FinancialMath package deal contains financial math and derivatives pricing features as required by the actuarial exams by the Society of Actuaries and Casualty Actuarial Society ‘Monetary Arithmetic’ examination. The ragtop package deal deal costs equity derivatives beneath an extension to Black and Scholes supporting default beneath an influence-regulation link value and hazard charge.
The NMOF package deal supplies capabilities, examples and information from Numerical Methods and Optimization in Finance by Manfred Gilli, Dietmar Maringer and Enrico Schumann (2011), together with the completely totally different optimization heuristics comparable to Differential Evolution, Genetic Algorithms, Particle Swarms, and Threshold Accepting.
The quantmod bundle deal presents quite a few capabilities for quantitative modelling in finance in addition to data acquisition, plotting and different utilities. The ghyp package deal deal provides generalized hyberbolic distribution capabilities as well as procedures for VaR, CVaR or aim-return portfolio optimizations.