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.
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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 .
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 .
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.
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.