This post explains how to paste R plot images into MS Word with some additional information such as title, description, and data table. This can be done by using the officer R package. Paste R plot image into MS Word with additional i...

This post explains how to estimate the Hurst exponent which indicates characteristics of a time series : mean-reversion, random walk, and trending with long memory using S&P 500 index returns. Hurst Exponent Pairs trading literatur...

This post shows how to read daily historical exchange rates given symbols as a string. Read historical exchange rates I collected the symbols of exchnage rates at https://finance.yahoo.com/currencies R code The fo...

This post shows how to read prices of stock indices given symbols as a string. Read historical prices of stock indices I collected the symbols of major stock indices at https://finance.yahoo.com/world-indices R code Th...

This post shows how to read prices of cryptocurrencies given symbols as a string. Read historical prices of cryptocurrencies Pairs trading also can be applied to cryptocurrencies. It is, therefore, a starting point of pairs trading bac...

This post shows how to read all prices of constituents of a stock index given all symbols as string. It is a starting point of pairs trading backtest to collect daily stock prices of a given stock index. Read and Concatenate Prices of C...

This post introduces a useful R code snippet for transforming the long format data to the wide format. We occasionally encounter the long format data such as yield curve data since yield curve has two dimensions : maturity and date. For this e...

This post introduces Nelson-Siegel-Svensson (NSS) yield curve model which is an extension of Nelson-Siegel (NS) model with an additional curvature factor. It aims to fit longer term maturities well. Nelson-Siegel-Svensson model Svens...

This post explains and implements major three types of loan amortization or repayment schedule using R code: 1) bullet or balloon payment, 2) equal total payment, and 3) equal principal payment. Loan Amortization or Repayment Sche...

This post explains how to decompose a movement of bond yields into 3 factors (level, slope, curvature) which is the work of Litterman and Scheinkman (1991). Using R functions for the principal component analysis and eigen decomposition, we ca...

This post shows how to use constrOptim.nl() R function to solve non-linear optimization problem with or without equality or inequality constraints. Nelson-Siegel yield curve model is used as an target example. Its calculation time is faster...

This post shows how to use nloptr R package to solve non-linear optimization problem with or without equality or inequality constraints. Nelson-Siegel yield curve model is used as an target example. Nelson-Siegel model using nlop...

This post explains how to calculate the IRRBB interest rate shock scenarios of BCBS(2016) prior to discussing change in economic value of equity (∆EVE) and net interest income (∆NII). IRRBB Interest Rate Shock Scenarios IR...

This post explains how to calculate the key rate durations (KRD). Ho (1992) introduces KRD to measure non-parallel movements of the yield curve that the existing duration measures can not describe as these are defined under the assumption of ...

This post shows how to calculate a carry and roll-down on a yield curve using R. In the fixed income, the carry is a current YTM like a dividend yield in stock. But unlike stocks, even though market conditions remain constant over time, the r...

This post explains how to forecast yield curves using Dynamic Nelson-Siegel model given information of estimated parameters. Forecasting of Dynamic Nelson-Siegel model We estimated parameters of dynamic Nelson-Seigel model in the pre...

This post shows how to use rjags R package to estimate Nelson-Siegel yield curve model based using a Bayesian MCMC in a compact way. Nelson-Siegel model and rjags R package We installed and used rjags R package and performed a Bay...

This post shows how to use rjags R package to perform Bayesian MCMC estimation. As an example, we select a multiple linear regression but rjags can handle lots of highly non-linear models so that it can be extended to various modelings includ...

This post explains the Markov switching multifractal (MSM) model of Calvet and Fisher (2004) and introduces a R package for this model. It is well-known that MSM model can describe stylized facts of volatility such as long memory, volatility clu...

This post explains a Markov regime switching state space model. The bottom line is two-fold: 1) expanding states by each regime transitions and 2) collapsing each updated estimates for the next state prediction. The step 2) is necessary to fix t...