[R-SIG-Finance] How to extract all VaR values?

[Dirk Eddelbuettel]

On 24 January 2010 at 15:39, Guillaume Yziquel wrote:
| I've just tried using rgarch, and it seems to me that there are a few 
| issues with the package. I'm installing the package from R-forge:
| 
| >> install.packages("rgarch",repos="http://R-Forge.R-project.org")
| > Avis dans install.packages("rgarch", repos = "http://R-Forge.R-project.org") :
| >   l'argument 'lib' manque : '/home/yziquel/R/x86_64-pc-linux-gnu-library/2.10' est utilisé
| > also installing the dependency ‘Rsolnp’
| > 
| > essai de l'URL 'http://R-Forge.R-project.org/src/contrib/Rsolnp2_0.3.tar.gz'
| > Content type 'application/x-gzip' length 120837 bytes (118 Kb)
| > URL ouverte
| > ==================================================
| > downloaded 118 Kb
| > 
| > essai de l'URL 'http://R-Forge.R-project.org/src/contrib/regr0_1.0.tar.gz'
| > Content type 'application/x-gzip' length 114317 bytes (111 Kb)
| > URL ouverte
| > ==================================================
| > downloaded 111 Kb
| > 
| > * installing *source* package ‘Rsolnp2’ ...
| > ** R
| > ** inst
| > ** preparing package for lazy loading
| > ** help
| > *** installing help indices
| > ** building package indices ...
| > * DONE (Rsolnp2)
| > * installing *source* package ‘regr0’ ...
| > ** R
| > ** data
| > ** preparing package for lazy loading
| > ** help
| > Avis : ./man/drop1.regr.Rd:30: unknown macro '\lind'
| > *** installing help indices
| > ** building package indices ...
| > * DONE (regr0)
| > 
| > Les packages téléchargés sont dans
| > 	‘/tmp/Rtmp0M6Zuj/downloaded_packages’
| >> library(rgarch)
| > Erreur dans library(rgarch) : aucun package nommé 'rgarch' n'est trouvé
| 
| So I tried to check the availability of the dependencies:
| 
| >> library(stats)
| >> library(graphics)
| >> library(methods)
| >> library(Matrix)
| > Le chargement a nécessité le package : lattice
| >> library(chron)
| >> library(Rsolnp)
| > Erreur dans library(Rsolnp) : aucun package nommé 'Rsolnp' n'est trouvé
| >> library(Rsolnp2)
| >> library(sandwich)
| > Le chargement a nécessité le package : zoo
| 
| In the rgarch repository, I see that rgarch depends on Rsolnp:
| 
| http://r-forge.r-project.org/plugins/scmsvn/viewcvs.php/pkg/DESCRIPTION?rev=143&root=rgarch&view=markup
| 
| But somehow, on the Net, I only see things concerning Rsolnp2, which is 
| available in the Rmetrics package. Moreover, in the Rmetrics repository, 
| you have:
| 
| http://r-forge.r-project.org/plugins/scmsvn/viewcvs.php/pkg/Rsolnp2/IMPORTANT?rev=4479&root=rmetrics&view=markup
| 
| > new package Rsonlp2 from Alexios and Stefan added
| > 
| > This solver will be withdrawn from Rmetrics as soon as the solver package
| > Rsonlp written by Alexios Ghalanos and Stefan Theussl will be released to
| > CRAN.
| > 
| > Diethelm Wuertz
| 
| But Rsolnp is nowhere to be seen.
| 
| So am I hitting a real issue getting rgarch to work on my Debian R 
| system? Or, plainly, how do you get rgarch working?

This may or may not be related:

  Date: Sun, 24 Jan 2010 10:09:43 +0000
  From: Barry Rowlingson <b.rowlingson at lancaster.ac.uk>
  To: r-help at r-project.org
  Subject: [R] R-forge getting the wrong package

  After accusing someone of typing 'install.packages("weather")' instead
  of 'install.packages("webmaps")', I discovered that R-forge really is
  currently returning the wrong source tarball for packages after
  'Repitools' in the alphabet.

  The data returned from available.package in install.packages goes out
  of sync at 'Repitools':

  RemoteREngine                      "RemoteREngine_0.0-8.tar.gz"
  RemoteSensing                      "RemoteSensing_0.2-5.tar.gz"
  Repitools                          "RepitoolsExamples_1.01.tar.gz"
  Rglpk                              "Repitools_0.0.107.tar.gz"
  Ripop                              "Rglpk_0.3-2.tar.gz"
  Rllvm                              "Ripop_0.1.tar.gz"
  RlpSolveAPI                        "Rllvm_0.1.tar.gz"
 
  [...]

Can you please download the .tar.gz in question by hand, run R CMD INSTALL on
it and see if that works?  You may have to do that recursively for its
dependencies.  

Dirk

-- 
Three out of two people have difficulties with fractions.