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FinancePack and FractalPack

Most of the financial modeling software is written in C++ and R and is packaged for use with the open source R system. There are two packages, FinancePack and FractalPack. Screen shots with a short explanation of selected demo functions from these packages can be viewed by clicking on the links below. The packages and documentation can be downloaded from here.

Select screen shots from this list...

Multifractal time series simulation with heavy tail tests

Comparision of time series generated by three different models

CDO percentage expected loss using Vasicek LHP model

Credit loss distributions simulated using Schönbucher model

Agent-based model illustrating threshold effects

Estimating degree distribution for scale-free and random networks

Implied binomial tree using damped smile volatility surface

Implied binomial tree using PW linear volatility surface

Implied binomial tree using skew with high interest rates

Calibrating a volatility surface using AFHS97 method and data

AFHS97 applied to prices sampled from damped smile surface

AFHS97 applied to prices samples from PW linear surface

AFHS97 applied to prices from Rubinstein's 1994 paper