BA BB BC BD BE BF BG BH BI BJ BK BL BM BN BO BP BQ BR BS BT BU BV BW BX BY BZ

- 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.

(C) MD*TECH Method and Data Technologies, 05.02.2006 | Impressum |