IA IB IC ID IE IF IG IH II IJ IK IL IM IN IO IP IQ IR IS IT IU IV IW IX IY IZ

- IBTbc
- starting program to calculate the stock price on the nodes in the implied binomial tree, the tree of transition probabilities and the tree of Arrow-Debreu prices using Barle and Cakici's method.
- IBTcalimps
- Auxiliary quantlet for IBTdk and IBTbc, executes the given string
- IBTcrr
- calculates the call or put option price, using CRR binomial tree method
- IBTdk
- starting program to calculate the stock price on the nodes in the implied tree, the transition probability tree and the Arrow-Debreu tree using Derman and Kani's method.
- IBTlocsigma
- estimates the implied local volatility of each node in the implied binomial tree
- IBTnicemat
- shows the title and a string representation of the input matrix where each element has a fixed number of digits. Zeros are replaced by blanks.
- IBTresort
- generates a new matrix using the upper part of the input matrix
- IBTsdisplot
- plots a smoothed estimation of the implied probability distribution estimated by implied binomial tree
- IBTvolaplot
- shows the implied local volatility surface sigma(S,tau) in the implied tree at different time and stock price levels
- ICAjadeR
- performs an Independent Component Analysis on X and extracts m components. It uses the so called JADE algorithm for real valued signals.
- ICerz
- Auxiliary routine for rICfil: - if possible - generates for Scores Lambda~N(0,FI) (FI:: Fisher-Info) a Hampel-Krasker-IC psi to efficiency loss e, i.e. E psi Lambda' = unit(p) E psi=0 (1) E |psi|^2= (1+e) tr (FI^{-1}) (2) and psi= A Lambda w_b w_b=min(1,b/|A Lambda|) for di
- ICerzsep
- Auxiliary routine for rICfil: - if possible - generates for Lambda=Lambda1+Lambda2, Lambda1~N(0,S1), Lambda2~N(0,S2) indep a Hampel-Krasker-IC psi to efficiency loss e, i.e. E psi Lambda' = EM, E psi=0 (1) E |psi|^2= (1+e) tr ((S1+S2)^{-1}) and psi= A (Lambda1 w_b + Lambda2) w_b=min(1,b/|
- if
- if does conditional branching, if the first element of the argument is true. If has to be followed by an endif. Else is an optional part of if sequences.
- ImplVola
- determines the implied volatilities assuming the Black Scholes model for a vector of European style options; uses either the method of bisections or the default Newton-Raphson method.
- ImplVolaFX
- determines the implied volatilities assuming the Garman-Kohlhagen model for a vector of European style currency options. Uses the bisection method.
- impres
- computes the forecast error impulse responses of a K-dimensional VAR(p)-model from the model parameters 'a' up to 't' time periods after the shock.
- index
- index generates a new matrix z from an old matrix x by resampling the rows of x depending on the index vector i.
- indexcat
- returns the indices of the elements of a vector which fall into specified category.
- indexentropy
- computes the Entropy index via kernel density estimation
- indexfriedmantukey
- computes the Friedman Tukey index via kernel density estimation
- indexhermite
- computes the Hermite index via kernel density estimation
- indexlegendre
- computes the Legendre index via kernel density estimation
- indexnaturalhermite
- computes the Natural Hermite index via kernel density estimation
- influence
- displays graphically the influence of the parameters entering the Black and Scholes formula on the option price.
- info
- info returns lists of available commands, objects and quantlets
- inprod
- computes the inner products of fd or fdbasis objects.
- INSadjR
- produces adjustment coefficient R in insurance collective risk model.
- INSadjR0
- produces adjustment coefficient R0 in insurance collective risk model.
- INSadjReq
- auxiliary quantlet for INSadjR and INSadjR0.
- INSapproxgamma
- returns the parameters for the translated gamma approximation of the compound Poisson distribution.
- INSBeekmanBowers
- produces the Beekman-Bowers approximation of ruin probability in infinite time for insurance collective risk model.
- INSbur
- returns pure risk premium for Burr distribution of losses.
- INScordiffin
- produces the corrected diffusion approximation of ruin probability in finite time horizon for insurance collective risk model.
- INScPPstats
- returns the first four raw and central moments of compound Poisson - truncated-Pareto distribution.
- INSCramer
- produces the Cramer approximation of ruin probability in infinite time for insurance collective risk model.
- INSDeVylder
- produces the De Vylder approximation of ruin probability in infinite time for insurance collective risk model.
- INSDeVylderfin
- produces the finite De Vylder approximation of ruin probability in finite time horizon for insurance collective risk model.
- INSdiffin
- produces the diffusion approximation of ruin probability in finite time horizon for insurance collective risk model.
- insert
- inserts an object to the specified position within a list.
- INSexactexp
- produces the exact ruin probability in infinite time for insurance collective risk model with exponential claims.
- INSexactexpfin
- produces the exact ruin probability in finite time horizon for insurance collecitive risk model with exponential claims.
- INSexactexpfinint
- auxiliary quantlet for INSexactexpfin, the function to be integrated.
- INSexactgam
- produces the exact ruin probability in infinite time for insurance collective risk model with gamma claims.
- INSexactgamint
- auxiliary quantlet for INSexactgam, the function to be integrated.
- INSexactmix2exps
- produces the exact ruin probability in infinite time for insurance collective risk model with mixture of 2 exponentials loss distribution.
- INSexpappr
- produces the exponential approximation of ruin probability in infinite time for insurance collective risk model.
- INSgam
- returns the pure risk premium for Gamma distribution of losses.
- INSgDeVylder
- produces the gamma De Vylder approximation of ruin probability in infinite time for insurance collective risk model.
- INShltraffic
- produces the heavy-light traffic approximation of ruin probability in infinite time for insurance collective risk model.
- INShtraffic
- produces the heavy traffic (diffusion) approximation of ruin probability in infinite time for insurance collective risk model.
- INSlogn
- returns the pure risk premium for lognormal distribution of losses.
- INSltraffic
- produces the light traffic approximation of ruin probability in infinite time for insurance collective risk model.
- INSLundberg
- produces the Lundberg approximation of ruin probability in infinite time for insurance collective risk model.
- INSLundbound
- produces the Lundberg upper bound for ruin probability in infinite time for insurance collective risk model.
- INSmgfs
- returns the moment generating function or its k-th derivative (up to third) for a light tailed distribution.
- INSmoments
- returns the k-th moment (up to fourth) of a distribution.
- INSoptRBC
- returns the optimal retention limit M, RBC capital, loading and expected rate of return from RBC, resulting either from minimization of the total premium or from maximization of the rate or return. The compound Poisson - truncated-Pareto model and FC1 or FC2 method of approximation of quantiles are
- INSoptRBCmaxrate
- auxiliary quantlet for INSoptRBC.
- INSoptRBCminprem
- auxiliary quantlet for INSoptRBC.
- INSoptu
- returns the optimal retention limit M, initial capital u and safety loading, resulting from minimization of premium c, under the assumption of some ruin probability level and dividend rate (fixed or flexible). The compound Poisson - truncated Pareto model and Beekman-Bowers or De Vylder method of a
- INSoptufixdiv
- auxiliary quantlet for INSoptu.
- INSoptuflexdiv
- auxiliary quantlet for INSoptu.
- INSpareto
- returns the pure risk premium for Pareto distribution of losses.
- INSPolKhin
- produces the simulated ruin probability in infinite time for insurance collecitive risk model, using the Pollaczeck-Khinchine formula.
- INSpremburr
- returns the values of premium in the case of Burr distribution of losses.
- INSpremgamma
- returns the values of premium in the case of (transformed) Gamma distribution of losses.
- INSpremlogn
- returns the values of premium in the case of lognormal distribution of losses.
- INSpremnorm
- returns the values of premium in the case of normal distribution of losses. The premium is as an approximation for some cummulated claim.
- INSprempareto
- returns the values of premium in the case of Pareto distribution of losses.
- INSpremwei
- returns the values of premium in the case of Weibull distribution of losses.
- INSRenyi
- produces the Renyi approximation of ruin probability in infinite time for insurance collective risk model.
- INSrndPK
- auxiliary quantlet for INSPolKhin, generates random numbers from specific distributions using numerical integration and inversion of cdf.
- INSruinMC
- produces the ruin probability in finite time horizon for insurance collective risk model by Monte Carlo simulations of risk process.
- INSSegerdahl
- produces the Segerdahl approximation of ruin probability in finite time horizon for insurance collective risk model.
- INSsubexpappr
- produces the approximation of ruin probability for subexponential (heavy tailed) claims in infinite time for insurance collective risk model.
- INStail
- auxiliary quantlet for INSltraffic, INSsubexpappr and INSPolKhin the tail of loss distribution.
- insurancemain
- sets defaults for library insurance.
- INSwei
- returns the pure risk premium for Weibull distribution of losses.
- interact
- interact estimates a model with interaction terms. It is using the marginal integration estimator with a local polynomial smoother. For details see Sperlich, Tjostheim, Yang (1997)
- intertest1
- intertest1 is testing for interaction of x_1 and x_2 in an additive regression model. It is looking at the interation estimate and using wild bootstrap. For details see Sperlich, Tjostheim, Yang (1997)
- intertest2
- intertest2 is testing for interaction of x_1 and x_2 in an additive regression model. It is looking at the estimate of the mixed derivative of the joint influence and using wild bootstrap. For details see Sperlich, Tjostheim, Yang (1997)
- intest
- estimation of the univariate additive functions in a separable additive model using Nadaraya-Watson, local linear or local quadratic estimation.
- intest1
- estimation of the univariate additive functions in a separable additive model using Nad.Wat.
- intest2d
- estimation of a bivariate joint influence function and its derivatives in a model with possible interaction. When loc.lin.smoother is chosen you get the function estimate and the first derivatives in the first and second direction, when loc.quadr.smoother is chosen you get the function and the mixe
- intestpl
- estimation of the univariate additive functions in a separable additive partial linear model using local polynomial estimation
- inv
- computes the inverse matrix. The functionality extends to higher dimensional arrays.
- invdwt
- invdwt computes the inverse Discrete Wavelet Transformation of a vector.
- invfft
- invfft computes the Inverse Fast Fourier Transformation of a complex vector.
- invfwt
- invfwt computes the Fast Wavelet Transformation of a vector.
- invfwt2
- invfwt2 is designed for 2-dimensional inverse wavelet transformation. The wavelet coefficients are stored in the matrix c.
- invfwtin
- fwtin computes the inverse Fast Wavelet Transformation of all circular shifts from ti.
- ira
- Generation of menu system for impulse response analysis. A system of menus will appear on the screen that guides you through the stages of impulse response analysis for vector autoregressive models. This quantlet defines the following pop-up menus: irairmax, iracoverage, irabootci, irayscale, irai
- isInf
- Determines whether elements of an array are infinity or -infinity (Inf or -Inf).
- isNaN
- Determines whether elements of an array are missing values (NaN).
- isNumber
- Determines whether elements of an array are usual figures or not (NaN, Inf, -Inf).
- isoreg
- isoreg computes the isotonic regression smoother via the Pool Adjacent Violators algorithm. Given a data set {(X_i,Y_i)} where X_i <= X_(i+1) i=1,...,n finds the values {mhat(X_i)} i=1,...,n, such that, minimizes (1/n) sum_i=1,...,n [Y_i - mhat(X_i)]^2 subject to mhat(X_i) <= mhat[X_(i+1)], i=
- itediff
- calculates the i^th difference of a time series
- itera
- Auxiliary routine for rICfil: - if possible - it solves for Lambda~N(0,FI), where FI represents the Fisher-Info, following equations: A^{-1} =E [ Lambda Lambda' w_b ] (1) w_b=min(1,b/|A Lambda|) using a fixed-point-algorithm
- iteras
- Auxiliary routine for rICfil: It solves - if possible - for Lambda1~N(0,S1) and Lambda2~N(0,S2) following equations independently: A^{-1} =E [ Lambda1 Lambda1' w_b ] + E [ Lambda2 Lambda2' ] (1) w_b=min(1,b/|A Lambda1|) using a fixed-point-algorithm
- ITT
- main function for the Derman/Kani/Chriss method of implied trinomial trees (ITT). It computes the nodes of the ITT, the probability matrices, the Arrow-Debreu prices and the local volatility matrix.
- ITTad
- auxiliary quantlet for ITT. It computes the Arrow-Debreu prices of an Implied Trinomial Tree on a particular level.
- ITTcrr
- builds up a constant-volatility trinomial tree and computes the option price of a given option with a given strike price
- ITTnewnodes
- auxiliary quantlet for ITT. It computes the new level for an implied trinomial tree, so that the forward condition is not violated.
- ITTnicemat
- writes any matrix with the ITT convention style as a string where the central node is found in the middle.
- ITTterm
- auxiliary quantlet for ITT. It evaluates the left sides of the non-linear equation system at given points.
- ITTtermder
- auxiliary quantlet for ITT. It evaluates the Jacobian of the left sides of the non-linear equation system at given time points.
- ivforec
- Computes forecast intervals for VAR Models

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