CCR, Entropy-Based Correlation Estimates & Dynamic Beta

Contains performance analysis metrics of track records including entropy-based correlation and dynamic beta based on the Kalman filter. The normalized sample entropy method has been implemented which produces accurate entropy estimation even on smaller datasets while for the dynamic beta calculation the Kalman filter methodology has been utilized. On a separate stream, trades from the five major assets classes and also functionality to use pricing curves, rating tables, CSAs and add-on tables. The implementation follows an object oriented logic whereby each trade inherits from more abstract classes while also the curves/tables are objects. There is a lot of functionality focusing on the counterparty credit risk calculations however the package can be used for trading applications in general.


Reference manual

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2.0 by Tasos Grivas, 2 months ago

Browse source code at

Authors: Tasos Grivas

Documentation:   PDF Manual  

GPL-3 license

Imports methods, reticulate, PerformanceAnalytics

Imported by SACCR, xVA.

See at CRAN