ffp: Stress Test Historical Scenarios with Fully Flexible Probabilities

Implements numerical entropy-pooling for scenario analysis as described in Meucci, Attilio (2010) <doi:10.2139/ssrn.1696802>.

Version: 0.1.0
Depends: R (≥ 2.10)
Imports: assertthat (≥ 0.2.1), dplyr (≥ 1.0.6), forcats (≥ 0.5.1), ggdist (≥ 2.4.0), ggplot2 (≥ 3.3.3), lubridate (≥ 1.7.10), magrittr (≥ 2.0.1), methods, mvtnorm (≥ 1.1-1), NlcOptim (≥ 0.6), pracma (≥ 2.3.3), purrr (≥ 0.3.4), rlang (≥ 0.1.2), scales (≥ 1.1.1), stats, tibble (≥ 3.1.1), tidyr (≥ 1.1.3), usethis (≥ 0.2.1), vctrs (≥ 0.3.7), xts (≥ 0.12.1)
Suggests: covr, knitr (≥ 1.33), markdown, roxygen2, spelling, testthat (≥ 3.0.0)
Published: 2021-07-14
Author: Bernardo Reckziegel [aut, cre, cph]
Maintainer: Bernardo Reckziegel <bernardo_cse at hotmail.com>
BugReports: https://github.com/Reckziegel/FFP/issues
License: MIT + file LICENSE
URL: https://github.com/Reckziegel/FFP
NeedsCompilation: no
Language: en-US
Materials: README NEWS
CRAN checks: ffp results

Downloads:

Reference manual: ffp.pdf
Vignettes: Replicating Meucci's Paper
Package source: ffp_0.1.0.tar.gz
Windows binaries: r-devel: ffp_0.1.0.zip, r-release: ffp_0.1.0.zip, r-oldrel: ffp_0.1.0.zip
macOS binaries: r-release (arm64): ffp_0.1.0.tgz, r-release (x86_64): ffp_0.1.0.tgz, r-oldrel: ffp_0.1.0.tgz

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