ffp: Fully Flexible Probabilities for Stress Testing and Portfolio Construction

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

Version: 0.2.1
Depends: R (≥ 2.10)
Imports: assertthat (≥ 0.2.1), dplyr (≥ 1.0.8), forcats (≥ 0.5.1), ggdist (≥ 3.1.1), ggplot2 (≥ 3.3.5), lubridate (≥ 1.8.0), magrittr (≥ 2.0.2), methods, mvtnorm (≥ 1.1-3), purrr (≥ 0.3.4), rlang (≥ 1.0.2), scales (≥ 1.1.1), stringr (≥ 1.4.0), stats, tibble (≥ 3.1.6), tidyr (≥ 1.2.0), vctrs (≥ 0.3.8), nloptr (≥ 2.0.0), crayon, NlcOptim (≥ 0.6)
Suggests: covr, knitr (≥ 1.37), markdown, roxygen2, spelling, testthat (≥ 3.1.2), xts (≥ 0.12.1)
Published: 2022-03-24
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

Documentation:

Reference manual: ffp.pdf

Downloads:

Package source: ffp_0.2.1.tar.gz
Windows binaries: r-devel: ffp_0.2.1.zip, r-release: ffp_0.2.1.zip, r-oldrel: ffp_0.2.1.zip
macOS binaries: r-release (arm64): ffp_0.2.1.tgz, r-release (x86_64): ffp_0.2.1.tgz, r-oldrel: ffp_0.2.1.tgz
Old sources: ffp archive

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