Jackpotjoy

# Tag Archives: R

## Project Euler Question 15

Question: Starting in the top left corner of a 2*2 grid, there are 6 routes (without backtracking) to the bottom right corner.How many routes are there through a 20*20 grid? Solution: This is not a particular question for programming ,it seems like a more mathematics  problem for me . for moving from top left to right down , only consist two direction "down/ right", all path is a combination of 20 down and 20 right moves, so ,solution is just number of combination 20 of 40 instruction on move . For Read more [...]

## Simple Debugging with R

Unlike other programming language such as Python and Java, R is less equipped with state of art level Integrated Development Environment. Thus, debugging program in R comes with a little trivial. Perform "Assert" in Python/C, Assert(test_expr) expression will throw out an exception if "test_expr" was false. In R , this feature can be implement with function "stopifnot()", let's demo this function via below example: demo <- function (a){ stopifnot(a < 2000) if (a < 2000){ Read more [...]

## Construction Bond Portfolio Management in a Object-Oriented R Way

I've been read a lot of articles, blogs and other online resources about programming R, most of them discuss a lot about it's powerful statistic features. But there are less topics about it's Object-Oriented features, I'm going to navigate these features to construct a Portfolio Management. (PS: all following R code will be in a S4 Style) Define a Bond Class A portfolio means a collection of assets, asset could be different financial products ,like Bond, Future, Stock or other derivatives . We Read more [...]

## Correlation Analysis of Shibor Rate in R

Correlation is define as degree of  co-movement of two variables . I'll try to analysis the correlation of 7days shibor rate and 1 month shibor rate .  Let's examine the relation in visual first, > ts.plot(shibor$X1W, type="l",col="red") > lines(shibor$X1M, type="l",col="blue") As figure shows , for the most of time 1 Month Shibor rate will be greater than the 1 Week Shibor rate, that makes sense as it require higher return for taking premium Read more [...]

## VaR Measurement with PerformanceAnalystics in R

VaR is most popular risk measurement of downside risk in recent years. It can aggregate risk across products departments ,and even across different risk type.  I am going to dive into the VaR() function in the package "PerformanceAnalystics" Here  is full parameter of function VaR() VaR(R = NULL, p = 0.95, method = c("modified", "gaussian","historical", "kernel")...) R can be assign a data.frame, vector, matrix, or xts, timeSeries object etc . p is assigned Read more [...]

## Implement Exponential Smooth in R

Introduction Exponential Smooth is common technique in time series data analysis . There are 3 types of Exponential smoothing methods , which corresponding to different type of time series data. Time series which don't demonstrate trend or seasonality , use single exponential smoothing Time series which demonstrate trend but not seasonality , use double exponential smoothing  Time series which demonstrate both trend and seasonality , use triple exponential smoothing Single Exponential Read more [...]

## Time Series Analysis on Shibor Rate

R provide powerful functions in time series analysis, I'll try to explore  a few functions regarding to Shibor(Shanghai Interbank Offered Rate) rate from 2006-10-08 to 2012-06-26 . > str(shibor) 'data.frame': 1432 obs. of 9 variables: $Date: Date, format: "2006-10-08" "2006-10-09" ...$ O.N : num 2.12 2.1 2.09 2.1 2.09 ... $X1W : num 2.29 2.3 2.3 2.29 2.29 ...$ X2W : num 2.38 2.4 2.42 2.49 2.52 ... $X1M : num 2.53 2.55 2.57 2.59 2.59 ...$ Read more [...]

## A Peek in ggplot2 Part 1

Intro Ggplot2 has gained a significant popularity in recent year due to its elegant design and compared with Lattice package , ggplot2 provide more generic graphic solution and more fancy graphic view . Recently I am reading a book <ggplot2 elegant graphic for Data Analysis> , try to grasp a skill on plotting on ggplot2 . Start Lets start with the qplot() function which provide similar function to plot(). "shibor " is a dataframe with daily interbank borrow rate in Shanghai from 2007 to Read more [...]

## Secant Method in R

Intro The main disadvantage of Newton-Raphson Algorithm is that it require the derivative of original function $f'$ . That create a little mess within R implementation . Scant Method excels in that it only requirement of the function is being continuous . Secant Method Essentially , Secant is much alike to Newton-Raphson Algorithm, difference is that will replace the derivative $f'$ with a analogous expression below: $\frac{f(x_{n}) - f(x_{n-1})}{x_{n} - x_{n-1} }$ First Step, we Read more [...]

## Generic Newton-Raphson Method in R

As previous written blog regarding how to calculate Yield to Maturity in R I've mention Newton-Raphson method to find quick root solution of Yield which will equals the present value of future cash flow to current market price of bond . Generally , we guess a initial value  , and then comes into a iteration process in the form of blow: Get Generic First Derivative of Function In this specific Bond Yield to Maturity case , the first derivative of function can be get by beforehand.  But in Read more [...]