B

backfit

the estimates for the components of an additive (partial linear) model are calculated. If the local linear smoother is applied, the first derivatives are calculated as well, additionally the second derivatives if the local quadratic smoother is chosen.

barrier

calculates barrier option prices.

BatesCall

calculates European call option prices in Bates model using FFT

BatesPut

calculates European call option prices in Bates model using FFT

beta2theta

auxiliary quantlet for spdest2 which reparametrises the beta parameters.

betrnormE

Auxiliary routine for rICfil: calculates E [ |X| (|x|

betrnormF

Auxiliary routine for ricfil which calculates the cdf of |X|, where X is an n-dimensional standard normal variate

betrnormV

Auxiliary routine for ricfil which calculates E[ |X|^2 (|x|

bfgs

Searches the global minimum of a function.

bganaabl

auxiliary quantlet that provides the analytical derivatives of the Gaussian log-likelihood of a bivariate BEKK-type volatility model with respect to its parameters

bgc0stern1

auxiliary quantlet that computes initial values for the deterministic part of the BEKK model from a time series and ARCH and GARCH parameter matrices.

bgen

auxiliary quantlet for full VAR model analysis

bginvv

auxiliary quantlet that computes the inverse of a matrix and in case of singularity the generalized inverse.

bglik

computes the Gaussian log-likelihood of the BEKK model for each observation

bgsigma

auxiliary quantlet that estimates time varying variances and covariances of a bivariate process according to the BEKK model

bigarch

estimates the BEKK (Baba, Engle, Kraft, Kroner) volatility representation for a bivariate conditionally heteroscedastic time series and evaluates the maximum of the quasi log likelihood function in a GARCH(1,1) frame of the following form: S_t=C_(0)^T*C_(0)+A_(11)^T*e_(t-1)*e_(t-1)^T*A_(11)+G_(11)

bindata

Bins a p-dimensional data set x, starting from the origin orig in steps of d.

bindatatocl

converts output of bindata to be used as classified data

binlindata

linear binning for univariate data, given the binwidth and optionally the origin of the bin grid. The smallest grid with width d that covers the data is found and the data are binned to this grid using the linear binning rule.

binweights

direct computation of the autocovariances of the bincounts needed for fast computation of the kernel estimates of the integrated squared density derivatives.

bitree

applying binomial model to calculate European and American option prices.

BlackScholes

calculates option prices using the Black and Scholes formula for no dividend European options

BlackScholesPathDependent1D

calculates the option price and its standard deviation for path dependent options in the Black Scholes model by Monte Carlo simulation.

BlackScholesPathDependent1DQMC

calculates the price for path dependent options in the Black Scholes model by applying Quasi-Monte Carlo simulation in connection with a Brownian Bridge construction.

BlackScholesPathIndependent1D

calculates the option price and its standard deviation for path independent options in the Black Scholes model by Monte Carlo simulation.

BlackScholesPathIndependent1DQMC

calculates the option price for path independent options in the Black Scholes model by Quasi-Monte Carlo simulation.

BlackScholesPathIndependentMD

calculates the option price and its standard deviation for path independent options in the multi-dimensional Black Scholes model by Monte Carlo simulation.

BlackScholesPathIndependentMDDiv

calculates the option price and its standard deviation for path independent options in the multi-dimensional Black Scholes model by Monte Carlo simulation.

BlackScholesPathIndependentMDDivQMC

calculates the option price for path independent options in the multi-dimensional Black Scholes model by Quasi-Monte Carlo simulation.

BlackScholesPathIndependentMDQMC

calculates the option price for path independent options in the multi-dimensional Black Scholes model by Quasi-Monte Carlo simulation.

BondCoupon

computes price of the coupon-bearing CAT bond for the given claim amount distribution and non-homogeneous Poisson process governing the flow of losses

BondOnlyCoupon

computes price of the CAT bond paying only coupons for the given claim amount distribution and the non-homogeneous Poisson process governing the flow of losses

BondZeroCoupon

computes price of the zero-coupon CAT bond for the given claim amount distribution and the non-homogeneous Poisson process governing the flow of losses.

BondZeroCouponHPP

computes price of the zero-coupon CAT bond for the given claim amount distribution and the homogeneous Poisson process governing the flow of losses

bootstrap

calculates from data vector x different bootstrap replications

boxcox

computes the Box-Cox transformation of x

boxcoxdens

shows the density before and after a Box-Cox transformation of x.

boxlj

computes the autocorrelation function (acf) and the Box-Ljung statistics for autocorrelation in a time series. Additionally, the p-values for the statistic are computed.

boxpi

computes the autocorrelation function (acf) and the Box-Pierce statistics for autocorrelation in a time series. Additionally, the p-values for the statistic are computed.

bqua2

computes the second derivative of the quartic kernel with boundary correction

break

Inside a switch statement break marks the end of a case block. The procedure is continued at the keyword endsw. It can be omitted.

bs1

calculates option prices of a European option with different types of dividends using the Black and Scholes formula

Bsplineevalgd

calculates the basis matrix phi of k-th order B-splines for a given strictly non-decreasing knot sequence.