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Hi all, I was wondering why I get errors trying to solve this: *simeq <- function(x) { f <- numeric(length(x)) f[1] <- x[1] * dnorm((log(x[1]/D) + (r + x[2]^2/2) * T)/(x[2] * sqrt(T))) - D...
Roger Koenker-3 wrote > > There are obviously a large variety of non-smooth problems; > for CVAR problems, if by this you mean conditional value at > risk portfolio problems, you can use modern interior point > linear programming methods. Further details are...
Thank you for your help, Michael. I used *aggregate(x, by = timeSequence(by = "day"), FUN = sum)* but the results is very different from *sum(x[1:13])*, where 13 is the number of daily observations I've sampled. Michael Weylandt...
# Hi all, # consider the following code (please, run it: # it's fully working and requires just few minutes # to finish): require(CreditMetrics) require(clusterGeneration) install.packages("Rdonlp2", repos= c("http://R-Forge.R-project.org", getOption("repos"))) install.packages("Rsolnp2...
Thank you, Michael :) Michael Weylandt wrote > > If that doesn't nail it down, I'll need you to answer the questions I > asked in my previous email. Previously I made a mistake with *dput()*, this is the correct output: > dput...
Michael Weylandt wrote > > Can you provide a reproducible example? > Of course, Michael. Consider the following time series: 11/2/2011 14:30 123.53 11/2/2011 15:00 123.78 11/2/2011 15:30 124.24 11/2...
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