| ewma.func <- function(rets, lambda) { | |
| sig.p <- 0 | |
| sig.s <- vapply(rets, function(r) sig.p <<- sig.p*lambda + (r^2)*(1 - lambda), 0) | |
| return(sqrt(sig.s)) | |
| } | |
| ewma.loop <- function(rets, lambda) { | |
| n <- length(rets)+1 | |
| sig.s <- rep(0, n) | |
| for (i in 2:n) { |
| Date | Open | High | Low | Close | Volume | Adj Close | |
|---|---|---|---|---|---|---|---|
| 2013-01-02 | 19.99 | 20.21 | 19.69 | 19.69 | 30182600 | 19.69 | |
| 2012-12-28 | 19.50 | 19.63 | 19.30 | 19.52 | 28368600 | 19.52 | |
| 2012-12-27 | 20.06 | 20.17 | 19.35 | 19.41 | 29298500 | 19.41 | |
| 2012-12-26 | 20.54 | 20.68 | 20.00 | 20.06 | 24075000 | 20.06 | |
| 2012-12-21 | 20.66 | 20.74 | 20.39 | 20.69 | 29390200 | 20.69 | |
| 2012-12-20 | 20.87 | 21.17 | 20.63 | 21.05 | 25639600 | 21.05 | |
| 2012-12-19 | 20.40 | 20.99 | 20.40 | 20.93 | 48430400 | 20.93 | |
| 2012-12-18 | 19.86 | 20.26 | 19.85 | 20.17 | 24685000 | 20.17 | |
| 2012-12-17 | 20.08 | 20.14 | 19.80 | 19.92 | 28421900 | 19.92 |
This is a simple implemetation in R to compute business day between 2 dates. This is quite useful in financial calculations, mainly for pricing interest rate financial instruments.
data(holidaysANDIMA)
holidaysANDIMA <- holidaysANDIMA[holidaysANDIMA >= '2013-01-01' & holidaysANDIMA <= '2026-01-01']
cal <- calendar(holidaysANDIMA)
cal$bizdays('2013-07-12', '2014-07-12') # returns 251
| rate <- function(r, t) list(r=r, t=t) | |
| comp.factor <- function(f, t) list(f=f, t=t) | |
| implied.rate <- function(f, t=f$t, dib=360) rate(f$f^(dib/t)-1, t) | |
| compound <- function(r, t=r$t, dib=360) comp.factor((1+r$r)^(t/dib), t) | |
| compound.div <- function(d, u) comp.factor(u$f/d$f, u$t-d$t) |
| Dim reMean As Object | |
| Dim matches As Object | |
| Dim match As Object | |
| Set reMean = CreateObject("VBScript.RegExp") | |
| With reMean | |
| .Global = False | |
| .IgnoreCase = False | |
| End With |
| r <- 0.07 | |
| q <- 0.02 | |
| sig <- 0.40 | |
| S_0 <- 142.12 | |
| K <- S_0 | |
| H <- S_0*0.75 | |
| CMC <- 0.14 | |
| CAP <- 0.3 | |
| dt <- 1/252 |
irc - interest rate curve
| # coding:utf-8 | |
| import locale | |
| from datetime import datetime | |
| import re | |
| from BeautifulSoup import BeautifulSoup | |
| # Função que transforma 6 formatos de data em ISO | |
| # input: list, string | |
| # output: list | |
| def dateISOer(content): |
| # coding:utf-8 | |
| import re | |
| import datetime | |
| import locale | |
| ''' | |
| 20130909 | |
| 09/18/13 | |
| 18/09/2013 |
| library(stringr) | |
| sqlitefy.handler <- function(obj) { | |
| function (text) { | |
| ret <- FALSE | |
| if (str_detect(text, obj$re)) { | |
| ret <- TRUE | |
| attr(ret, 'text') <- obj$transform(text, obj$re) | |
| } | |
| ret |