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Financial Toolbox Classes

Alphabetical List By Category

Financial Time Series

Create Time Series

fintsConstruct financial time series object

Portfolio Optimization and Asset Allocation

Portfolio Optimization Theory

PortfolioPortfolio object for mean-variance portfolio optimization and analysis
PortfolioCVaRPortfolioCVaR object for conditional value-at-risk portfolio optimization and analysis
PortfolioMADPortfolioMAD object for mean-absolute deviation portfolio optimization and analysis

Mean-Variance Portfolio Optimization

Create Portfolio

PortfolioPortfolio object for mean-variance portfolio optimization and analysis

Estimate Mean and Covariance for Returns

PortfolioPortfolio object for mean-variance portfolio optimization and analysis

Specify Portfolio Constraints

PortfolioPortfolio object for mean-variance portfolio optimization and analysis

Validate Portfolio

PortfolioPortfolio object for mean-variance portfolio optimization and analysis

Estimate Efficient Portfolios and Frontiers

PortfolioPortfolio object for mean-variance portfolio optimization and analysis

Conditional Value-at-Risk Portfolio Optimization

Create Portfolio

PortfolioCVaRPortfolioCVaR object for conditional value-at-risk portfolio optimization and analysis

Asset Returns and Scenarios

PortfolioCVaRPortfolioCVaR object for conditional value-at-risk portfolio optimization and analysis

Specify Portfolio Constraints

PortfolioCVaRPortfolioCVaR object for conditional value-at-risk portfolio optimization and analysis

Validate Portfolio

PortfolioCVaRPortfolioCVaR object for conditional value-at-risk portfolio optimization and analysis

Estimate Efficient Portfolios and Frontiers

PortfolioCVaRPortfolioCVaR object for conditional value-at-risk portfolio optimization and analysis

Mean-Absolute Deviation Portfolio Optimization

Create Portfolio

PortfolioMADPortfolioMAD object for mean-absolute deviation portfolio optimization and analysis

Asset Returns and Scenarios

PortfolioMADPortfolioMAD object for mean-absolute deviation portfolio optimization and analysis

Specify Portfolio Constraints

PortfolioMADPortfolioMAD object for mean-absolute deviation portfolio optimization and analysis

Validate Portfolio

PortfolioMADPortfolioMAD object for mean-absolute deviation portfolio optimization and analysis

Estimate Efficient Portfolios and Frontiers

PortfolioMADPortfolioMAD object for mean-absolute deviation portfolio optimization and analysis

Credit Risk

Create Credit Scorecards

creditscorecardCreate creditscorecard object to build credit scorecard model

Stochastic Differential Equation (SDE) Models

Specification

sdeStochastic Differential Equation (SDE) model
bmBrownian motion models
cevConstant Elasticity of Variance (CEV) models
cirCox-Ingersoll-Ross mean-reverting square root diffusion models
diffusionDiffusion-rate model component
driftDrift-rate model component
gbmGeometric Brownian motion model
hestonHeston model
hwvHull-White/Vasicek Gaussian Diffusion model
sdeddoStochastic Differential Equation (SDE) model from Drift and Diffusion components
sdeldSDE with Linear Drift model
sdemrdSDE with Mean-Reverting Drift model

Simulation

sdeStochastic Differential Equation (SDE) model
bmBrownian motion models
cevConstant Elasticity of Variance (CEV) models
cirCox-Ingersoll-Ross mean-reverting square root diffusion models
diffusionDiffusion-rate model component
driftDrift-rate model component
gbmGeometric Brownian motion model
hestonHeston model
hwvHull-White/Vasicek Gaussian Diffusion model
sdeddoStochastic Differential Equation (SDE) model from Drift and Diffusion components
sdeldSDE with Linear Drift model
sdemrdSDE with Mean-Reverting Drift model
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