Financial services organizations all over the world use S+FinMetrics® to better manage risk, optimize asset performance, and predict market conditions. All of this combined with the rapid prototyping and deployment capabilities of S-PLUS® means that organizations can make faster decisions and realize optimal results based on immediate access to market knowledge and predictive analysis.
Key Features
* Rolling estimation and backtesting strategies
* Includes three types of nonlinear, regime switching time series models (threshold autoregressive, smooth transition autoregressive, and Markov switching autoregressive models)
* The most efficient implementation of Kalman filtering and smoothing algorithms for state space models
* Univariate GARCH modeling for predicting volatility
* 18 types of parametric copula classes are implemented for visualization, estimation and simulation
* SIA standards for fixed income calculations Yield, conversion between spot rate, discount rate, forward rate, and yield curve estimation and interpolation.
* Estimation and simulation functions for two of the most popular classes of Affine Term Structure Models (ATSM), Vasicek and Cox-Ingersoll-Ross
* Standard and Exotic options pricing models for equity, fixed income and foreign currency
Product Information
* S+FinMetrics 3.0 Datasheet
* What's New in S+FinMetrics 3.0 Datasheet
* S+FinMetrics 3.0 Complete Feature List
* Whitepaper: Modeling Financial Time Series with S-PLUS® and S+FinMetrics™
* Archived Webcast: S+FinMetrics 3.0: Comprehensive Solution for the Analysis of Financial Data Web Cast Presentation
Statistical analysis software
No comments:
Post a Comment