Publications by teramonagi
Principal component analysis to yield curve change
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 be downloaded to click “Go to downloa...
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Valuation of CDO with equal amount
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...
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Simple example:How to use foreach and doSNOW packages for parallel computation.
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 d...
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Easy way to get yield curve : what you need is only "FRBData" package !
I made FRBData package and registerd it on CRAN.This package allow you to download financial data from FRB’s website.This website provide many economical data such as consumer credit, money stock.This article show you how to use this package.(But, it has only a function about interest rate now. I will create other functions to ...
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Another way to use R in Excel for .NET programmer
As you know, RExcel give us a way to combine R with Excel.But, It just bothering to install some COMs and maybe not be programming but excel manipulation!If you are a .NET programmer, there is another way to call R from Excel.I would like to show you simple example.We need to two libraries to do that.Excel-DNAR.NETFirst, you downloa...
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Yet another way to use R in Excel for .NET programmer
I wrote the article whose title is “Another way to use R in Excel for .NET programmer” last night.In that article, We need to use IDE to write C# program.On ther other hand, Excel-DNA give us easier way to create XLL.Let me show you one example.In last post, I downloaded two libraries.Excel-DNAR.NETIf you don’t download these...
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Pair trading strategy : how to use "PairTrading" package
Mr.Ishikawa(my old friend) and I developed “PairTrading” package, and uploaded it on CRAN.This article shows you how you can use it.The pair trading is a market neutral trading strategy and gives traders a chance to profit regardless of market conditions. The idea of this strategy is quite simple. 1 : Select two stocks(or any assets) moving ...
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How much does "Beta" change depending on time?
You may often use “Beta” to measure the market exposure of your portfolio because it’s easy to calculate.Since I have been wondering how much “Beta” change depending on time, more precisely writing, data-set and the period of return time series, I think that I would like to write about that in this article.First, I get stock price( I s...
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Changing world, Changing JGB term structure
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 structure Ministry of Finance Japan publishes because I’m japanese!You can download these data from...
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Pricing defaultable discount bond with reduced form model
I often use R language to write “prototype” program. As you know, It has very high productivity and smart grammar. In this article, I would like to show you how to write the program to evaluate the price of defaultable bond by “reduced-form model”.Before write a program, we need to understand how to price these bond.Under ri...
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