OMTRaccess
Piotr Orłowski

Fetch option / underlying / distribution data from WRDS OptionMetrics database.

myWrdsAccess
Piotr Orłowski

Create an ODBC connection to WRDS and use write other packages that query WRDS for data. The package has built-in functions for listing WRDS table/field names.

FamaFrenchData: tidy download of data from Ken French's website

Piotr Orłowski

Obtain tidy data frames with factor and portfolio returns in just one line! Download today and price all the assets!

divergenceModelR: pricing and modeling divergence swaps

Piotr Orłowski

This R package accompanies my paper Unscented Kalman Filter design for option pricing models. It provides tools for calculating divergence swap rates (generalized variance swap rates) and swap rates of higher orders in affine jump diffusion models. More background on divergence is avialable in Divergence and the Price of Uncertainty and Fear Trading .

affineModelR: package for Affine Jump Diffusion modeling

Piotr Orłowski, András Sali

This package allows for calculating the Characteristic Functions of state vectors in arbitrarily large-dimensional Affine Jump-Diffusion Models. The basic specification is geared towards applications in Equity Stochastic Volatility models, but minor modifications can allow users to apply the package in modeling yields, for example. The package supports user-supplied jump specifications and model setups. In the basic (equity) framework, it offers semi-analytical derivatives of the Characteristic Function with respect to its first argument (i.e. moments of stock returns). For more information on Affine Jump Diffusion Models, see Transform Analysis and Asset Pricing for Affine Jump-Diffusions and Affine Processes and Applications in Finance . Other models from the literature, that the package supports, can be found in, e.g. A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options , The Impact of Jumps in Volatility and Returns and Maximum Likelihood Estimation of Latent Affine Processes .

ukfRcpp: unscented Kalman filtering

Piotr Orłowski

An Rcpp-based library which implements the Unscented Kalman Filter with additive errors in both the standard and square-root forms. The base C++ class is exposed to users who should provide their own handling functions and build their package against ukfRcpp. I provide an example of a linear process with a non-linear observation equation.

transformOptionPricer: vanilla option pricing based on transform analysis

Piotr Orłowski, András Sali

This package allows for pricing of European options with the use of transform methods developed by Fang and Oosterlee and quadrature methods developed by András Sali and myself. Pricing exotic options is under development. The package requires the user to supply a characteristic function backend. affineModelR does this job more than well.