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smqf 1.1-1

• Import xts::as.xts so the xts dependency is registered in the NAMESPACE (resolves the “package in Depends not imported from” note).

smqf 1.1-0

• Initial CRAN release.
• Exported functions:
  • Portfolio optimisation: f_efficient_frontier, f_ptf_max_U, f_portfolio_moments.
  • Copula PDFs/CDFs: f_normal_copula_pdf, f_student_copula_pdf, f_clayton_copula_2d_pdf, f_gumbel_copula_2d_pdf, f_gumbel_copula_2d_cdf.
  • Copula visualisation: f_display_copula.
  • Tail risk: f_tail_dependence.
• Datasets: FamaFrenchMonthly, FamaFrenchWeekly, Fred, FungHsieh, GoyalWelch, TermStructure.
• Datasets ported from qrmdata (so the book no longer depends on that package): SP500, DJ, DJ_const, FTSE, FTSE_const, EURSTOXX, EURSTX_const, DAX, CAC, NIKKEI, SMI, HSI, GOLD, VIX.

These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.