smqf 1.1-1
- Import
xts::as.xts so the xts dependency
is registered in the NAMESPACE (resolves the “package in Depends not
imported from” note).
smqf 1.1-0
- Initial CRAN release.
- Exported functions:
- Portfolio optimisation:
f_efficient_frontier,
f_ptf_max_U, f_portfolio_moments.
- Copula PDFs/CDFs:
f_normal_copula_pdf,
f_student_copula_pdf, f_clayton_copula_2d_pdf,
f_gumbel_copula_2d_pdf,
f_gumbel_copula_2d_cdf.
- Copula visualisation:
f_display_copula.
- Tail risk:
f_tail_dependence.
- Datasets:
FamaFrenchMonthly,
FamaFrenchWeekly, Fred,
FungHsieh, GoyalWelch,
TermStructure.
- Datasets ported from qrmdata (so the book no longer
depends on that package):
SP500, DJ,
DJ_const, FTSE, FTSE_const,
EURSTOXX, EURSTX_const, DAX,
CAC, NIKKEI, SMI,
HSI, GOLD, VIX.