Package: RMOPI 1.1

RMOPI: Risk Management and Optimization for Portfolio Investment

Provides functions for risk management and portfolio investment of securities with practical tools for data processing and plotting. Moreover, it contains functions which perform the COS Method, an option pricing method based on the Fourier-cosine series (Fang, F. (2008) <doi:10.1137/080718061>).

Authors:Wei Ling [aut, cre], Yang Liu [aut]

RMOPI_1.1.tar.gz
RMOPI_1.1.zip(r-4.5)RMOPI_1.1.zip(r-4.4)RMOPI_1.1.zip(r-4.3)
RMOPI_1.1.tgz(r-4.4-any)RMOPI_1.1.tgz(r-4.3-any)
RMOPI_1.1.tar.gz(r-4.5-noble)RMOPI_1.1.tar.gz(r-4.4-noble)
RMOPI_1.1.tgz(r-4.4-emscripten)RMOPI_1.1.tgz(r-4.3-emscripten)
RMOPI.pdf |RMOPI.html✨
RMOPI/json (API)

# Install 'RMOPI' in R:

install.packages('RMOPI', repos = c('https://lingweir.r-universe.dev', 'https://cloud.r-project.org'))

On CRAN:

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

1.00 score 1 stars 210 downloads 33 exports 90 dependencies

Last updated 2 years agofrom:95cbf91407. Checks:OK: 7. Indexed: yes.

Target	Result	Date
Doc / Vignettes	OK	Nov 22 2024
R-4.5-win	OK	Nov 22 2024
R-4.5-linux	OK	Nov 22 2024
R-4.4-win	OK	Nov 22 2024
R-4.4-mac	OK	Nov 22 2024
R-4.3-win	OK	Nov 22 2024
R-4.3-mac	OK	Nov 22 2024

Exports:CosPdfMulti CosPdfRecovery CosValueOption Describe DescribeVector EuroCallOption F_k FixBacktest ggacf ggboxplot gghistplot gglineplot ggpacf InvestmentPortfolio LogErrorCosPdf NormChf PdfMultiPlot PdfSinglePlot rGarch rGarcha rGbm rGbms rGbmSingle RiskIndicators rMvReturnSim rTrade rTrades Sharp StackForPlot StackRet StNormChf V_k VaRSimTest

Dependencies:bitops boot chron cli colorspace cpp11 cubature curl DEoptimR DistributionUtils ecodist energy fansi farver fAssets fBasics fCopulae fMultivar FNN fPortfolio fracdiff GeneralizedHyperbolic generics ggplot2 glue gsl gss gtable igraph isoband kernlab KernSmooth ks labeling lattice lifecycle lubridate magrittr MASS Matrix MatrixModels mclust mgcv mnormt multicool munsell mvnormtest mvtnorm nlme nloptr numDeriv PerformanceAnalytics pillar pkgconfig pracma quadprog quantreg R6 RColorBrewer Rcpp RcppArmadillo RCurl Rglpk rlang rneos robustbase Rsolnp rugarch scales SkewHyperbolic slam sn SparseM spatial spd stabledist survival tibble timechange timeDate timeSeries truncnorm TTR utf8 vctrs viridisLite withr XML xts zoo

Citation

Readme and manuals

Help Manual

Help page	Topics
Distribution Recovery with the COS method for Different parameters	CosPdfMulti
Distribution Recovery with the COS method	CosPdfRecovery
Approximate the Option Price with the COS Method	CosValueOption
Summary Statistics	Describe
Summary Statistics of Vector	DescribeVector
The Value Function of European Call Option	EuroCallOption
F_k Coefficients	F_k
Buy and Hold Backtest	FixBacktest
Plot the Acf Figure	ggacf
Plot the Box Figure	ggboxplot
Plot the Histogram Figure	gghistplot
Plot the Time Series	gglineplot
Plot the Pacf Figure	ggpacf
Construct Portfolio	InvestmentPortfolio
Calculate the Absolute Error of the COS Method	LogErrorCosPdf
The Characteristic Function of Normal Distribution	NormChf
Plot the Probability Density Functions	PdfMultiPlot
Plot the Probability Density Function	PdfSinglePlot
Simulate a Garch Series	rGarch
Simulate a Garch Series	rGarcha
Simulate prices series of stocks	rGbm
Simulate Multivariate Stocks Prices Data	rGbms
Simulate a single stock price series	rGbmSingle
Calculate Useful Indicators for returns	RiskIndicators
Simulate Stocks Prices	rMvReturnSim
Simulate stock trade data	rTrade
Simulate Multivariate Stock Trade Data	rTrades
Calculate Sharp Ratio with stock prices	Sharp
Rearrange the data from 'LogErrorCosPdf' for plot	StackForPlot
Stack Rets for ggplot	StackRet
The Characteristic Function of Standard Normal Distribution	StNormChf
V_k Series	V_k
VaR Calculation and Coverage Test	VaRSimTest

Package: RMOPI 1.1

RMOPI: Risk Management and Optimization for Portfolio Investment

Citation

Readme and manuals

Help Manual

Usage by other packages (reverse dependencies)