[R-SIG-Finance] New Rmetrics Packages

[Yohan Chalabi]

Dear R users

Most of the work has been concentrated in the following packages:
'timeDate', 'timeSeries', 'fBasics', 'fGarch' and 'fPortfolio'. 

'timeDate' and 'timeSeries' are the new versions of 'fCalendar' and
'fSeries' respectively.  We changed their names to reflect the internal
changes of their classes. 

Indeed 'timeSeries' extends now the class "structure" which gives a
more intuitive handling of 'timeSeries' objects. For example,
subset-ting and basic functions should work in the same way as they do
with a 'matrix'. 

On the other hand 'timeDate' has internal changes which insure that
local settings (i.e. 'tzone') of the R environment is not changed when
dealing with different time zones.

The old packages, 'fCalendar' and 'fSeries', will still be available for
compatibility purpose.

The packages 'timeDate', 'timeSeries', 'fBasics', 'fGarch' and
'fPortfolio' have now a NAMESPACE. 

Moreover, we have moved all global variables to a global environment
which can be accessed with the functions 'getRmetricsOptions' and
'setRmetricsOptions.

For the rest of the Rmetrics packages we have fixed bugs that users
have reported to us. If you are interested to become a maintainer or
developer of one of these packages, please contact us.

As usual remarks, comments and patches are always welcome.

Best regards,
Yohan
___________________________________________________________________
NEW PACKAGES

     timeDate : new version of fCalendar with internal changes.
     timeSeries : new version of fSeries.
___________________________________________________________________
OBSOLETE PACKAGES
 
Four packages will be considered obsolete because they are not needed anymore.

   
    fUtilities : major parts have been moved to the package fBasics
    fCalendar : please use the new package fCalendar 
    fSeries : please use the new package fSeries
    Rmetrics

___________________________________________________________________
MAINTAINED PACKAGES

    fBasics              
        holds utility functions, basic tools, and some selected data sets
        for demos and examples
    timeDate
    timeSeries 
        hold S4 classes, methods and functions for date/time and financial
        time series management
    fGarch               
        holds functions for analysing and modeling heteroskedastic
        time series process and functions for Volatility Forecasting
    fAssets
    fPortfolio  
        hold functions for asset management and portfolio design and
        optimization
    
___________________________________________________________________
OTHER PACKAGES

The following packages do not have any new features. Only bugs which
have been reported by users have been fixed. 

If you are interested to become a maintainer or developer of one of
these packages, please do not hesitate to contact us.

   fEcofin
        a small number of selected data sets from fEcofin will go to 
        the package fBasics, the remaining data sets will be available 
        on demand
    fImport
        holds functions for downloading financial market data from 
        the Internet
    fArma
    fRegression
    fNonliner
    fTrading 
        hold functions dealing with several aspects of financial time 
        series analysis, trading and decision making
    fOptions
    fExoticOptions
    fAsianOptions
        hold functions for analytical, numerical and Monte Carlo option 
        pricing and for sensitivity analysis, including generators for
        low discrepancy sequences
     fMultivariate
        the bivariate and multivariate distribution functions from 
        fMultivar will go to the package fCopulae
    fUnitRoots
        McKinnons test statistics from fUnitRoots will be hosted by
        the contributed R package urca
    fExtremes
    fCopulae  
        hold functions for financial risk managment from extreme
        value theory and copulae dependence structure

-- 
PhD student
Swiss Federal Institute of Technology
Zurich

www.ethz.ch