[R] Time Series Objects/ MC Simulation
spencer.graves at pdf.com
Sat Apr 8 03:59:06 CEST 2006
I don't have a direct answer to your question, but in case you are
interested in a general introduction to time series capabilties in R, I
will suggest the following:
1. Ch. 14 in Venables and Ripley (2002) Modern Applied Statistics
with S, 4th ed. (Springer)
2. The zoo vignette plus Gabor Grothendieck and Thomas
Petzoldt. R help desk: Date and time classes in R. R News, 4(1):29-32,
June 2004 (www.r-project.org -> newsletter ... ).
3. The vignettes dse1, and dse2, available with the dse bundle.
4. If all you want is to Monte Carlo time series, then item "2"
might suffice -- unless you want to simulate events occurring in
different time zones, and you want to manage the subtleties of trading
day differences in different countries, etc., in which case you need
"fCalendar" in www.rmetrics.org -> White Paper on "timeDate/timeSeries"
hope this helps.
Keith Sabol wrote:
> I am attempting to value convertible bonds through a Monte Carlo approach.
> I want to express call schedules as date-price tuples. Naturally, these
> tuples need to be expanded to match the frequency of the innovations in the
> MC process.
> 1. Is there a straigh-forward way to accomplish this "expansion"?
> 2. I have noted the existance of ts, its, zoo and fCalendar. Does anyone
> have an opion on the relative merits of these, particularly with respect to
> speed in a simulation framework?
> Your assistance and insights are appreciated.
> R-help at stat.math.ethz.ch mailing list
> PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
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