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<P>
<B><FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="7"><FONT COLOR="#7F0000">Rmetrics</FONT></FONT></FONT></B> <FONT FACE="Arial,Helvetica,Monaco"><B><FONT SIZE="3"><FONT COLOR="#7F0000">FAQ</FONT></FONT></B></FONT></P>
<P ALIGN=CENTER>
<HR ALIGN=CENTER WIDTH="100%" SIZE="2">
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<P>
<B><FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2">
2005-11-02 Built 220.10063</FONT></FONT></B></P>
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<B><FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2"><!-- $MVD$:spaceretainer() --> </FONT></FONT></B></P>
<P>
<FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2"><B><FONT COLOR="#7F0000">Table
of Content:</FONT></B></FONT></FONT></P>
<BLOCKQUOTE>
<P>
<FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2">1. Introduction</FONT></FONT><BR>
<FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2"> 1.1 Legalese</FONT></FONT><BR>
<FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2"> 1.2
Obtaining this Documents</FONT></FONT></P>
<P>
<FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2">2. The Basics of Rmetrics</FONT></FONT><BR>
<FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2"> 2.1 What is Rmetrics?</FONT></FONT><BR>
<FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2"> 2.2 What
machines does run Rmetrics on?</FONT></FONT><BR>
<FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2"> 2.3 What is
the Current Version of Rmetrics?</FONT></FONT><BR>
<FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2"> 2.4 How can
Rmetrics be obtained and installed?</FONT></FONT><BR>
<FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2"> 2.5 What
documentation exists for Rmetrics?</FONT></FONT><BR>
<FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2"> 2.6 How to
cite Rmetrics?</FONT></FONT><BR>
<FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2"> 2.7 What
mailing lists exist for Rmetrics?</FONT></FONT></P>
<P>
<FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2">3. Rmetrics
Programming Issues</FONT></FONT><BR>
<FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2"> 3.1 Is
Rmetrics Open Source Software?</FONT></FONT><BR>
<FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2"> 3.2 Why
uses Rmetrics Builtin-Functions?</FONT></FONT><BR>
<FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2"> 3.3 Can I
use R and Rmetrics for commercial purposes?</FONT></FONT><BR>
<FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2"> 3.4
Rmetrics and Finmetrics</FONT></FONT></P>
</BLOCKQUOTE>
<P ALIGN=CENTER>
<HR ALIGN=CENTER WIDTH="100%" SIZE="2" NOSHADE COLOR="#7F0000">
</P>
<P>
<FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2"><B><FONT COLOR="#7F0000">1.
Introduction</FONT></B></FONT></FONT></P>
<BLOCKQUOTE>
<P>
<FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2">This document
contains answers to some of the most frequently asked questions about
Rmetrics. For R itself we highly recommend to consult Kurt Hornik's
FAQ on R, availalble fromthe CRANServer. Additionally there are two
platform-specific FAQs about R: The R Windows FAQfor all users of
Microsoft operating systems, and the R MacOS X FAQfor all users of
Apple operating systems. Note that the latter two are complementary
to the general R FAQ, i.e., you should read both the general FAQ and
your platform-specific one.</FONT></FONT></P>
</BLOCKQUOTE>
<P>
<FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2"><B><FONT COLOR="#7F0000">1.1
Legalese</FONT></B></FONT></FONT></P>
<BLOCKQUOTE>
<P>
<FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2">This document is
copyright © 2001–2004 by Diethelm Würtz. The document
is free software; you can redistribute it and/or modify it under the
terms of the GNU General Public License as published by the Free
Software Foundation; either version 2, or (at your option) any later
version. The document is distributed in the hope that it will be
useful, but WITHOUT ANY WARRANTY; without even the implied warranty
of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
General Public License for more details. A copy of the GNU General
Public License is available via WWW at: http://www.gnu.org . You can
also obtain it by writing to the Free Software Foundation, Inc., 59
Temple Place — Suite 330, Boston, MA 02111-1307, USA.</FONT></FONT></P>
</BLOCKQUOTE>
<P>
<FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2"><B><FONT COLOR="#7F0000">1.2
Obtaining this Document</FONT></B></FONT></FONT></P>
<BLOCKQUOTE>
<P>
<FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2">The latest version
of this document is always available from: http://www.rmetrics.org ,
the latest version of the R FAQ is available from:
http://www.ci.tuwien.ac.at .</FONT></FONT></P>
</BLOCKQUOTE>
<P ALIGN=CENTER>
<HR ALIGN=CENTER WIDTH="100%" SIZE="2" NOSHADE COLOR="#7F0000">
</P>
<P>
<FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2"><B><FONT COLOR="#7F0000">2
The Basics of Rmetrics</FONT></B></FONT></FONT></P>
<BLOCKQUOTE>
<P>
<FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2">Rmetrics is a
collection of several hundreds of functions which may be useful for
teaching "Financial Engineering" and "Computational
Finance". These functions are available for R, “GNU’s
S”. This is a freely available language and environment for
statistical computing and graphics which provides a wide variety of
statistical and graphical techniques.</FONT></FONT></P>
</BLOCKQUOTE>
<P>
<FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2"><B><FONT COLOR="#7F0000">2.1
What is Rmetrics?</FONT></B></FONT></FONT></P>
<BLOCKQUOTE>
<P>
<FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2">The functions
availalbel through Rmetrics have their source in algorithms and
functions written by myself, my students, and many other authors. A
major aim is to bring financial algorithms and concepts together
under a common software platform and to make it public available
mainly for teaching financial engineering and computational finance.
Rmetrics is not part of CRAN, Rmetrics is an initiative by its own.
Rmetrics has some aims similar like Bioconductor. Rmetrics is an open
source and open development software project. The basic R port from
which Rmetrics originated was already initiated in 1999 as an outcome
of lectures held by Diethelm Würtz on topics in econophysics at
ETH Zürich. Meanwhile, the family of the Rmetrics packages
includes four members dealing with the following subjects: fBasics -
Markets, Basic Statistics, Date and Time, fSeries - The Dynamical
Process Behind Financial Markets, fExtremes - Beyond the Sample,
Dealing with Extreme Values, and fOptions - The Valuation of Options.
Two other packages are under current development, fBonds and fPortfolio.</FONT></FONT></P>
<P>
<FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2"><I>What is
included in the fBasics Package?</I> The package fBasics covers the
management of economic and financial market data. Included are
functions to download economic indicators and financial market data
from the Internet. Distribution functions relevant in finance are
added like the asymmetric stable, the hyperbolic and the inverse
normal gaussian distribution function to compute densities,
probabilities, quantiles and random deviates. Estimators to fit the
distributional parameters are also available. Some additional
hypothesis tests for the investigation of correlations, dependencies
and other stylized facts of financial time series can also be found
in this package.</FONT></FONT></P>
<P>
<FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2"><I>What is
included in the </I></FONT></FONT><I><FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2">fCalendar</FONT></FONT></I><FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2"><I> Package?</I>
The package fCalendar covers the managment of dates, time, and
calendars. The package makes available very powerful 'timeDate' and
'timeSeries' S4 classes. A holiday database for all ecclestial and
public holidays in the G7 countries and Switzerland is provided
together with a database of daylight saving times for financial
centers around the world. Special calendar management functions were
implemented to create easily business calendars for exchanges. A
collection of functions for filtering and outlier detection of high
frequency foreign exchange data records collected from Reuters' data
feed can also be found together with functions for de-volatilization
and de-seasonalization of the data.</FONT></FONT></P>
<P>
<FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2"><I>What is
included in the fSeries Package?</I> The package fSeries covers
topics from the field of financial time series analysis including
ARIMA, GARCH, long memory modelling, and chaotic time series analysis
. This library tries to bring together the content of existing
R-packages with additional new functionality on a common platform.
The collection comes with functions for simulations, parameter
estimation, diagnostic analysis and hypothesis testing of financial
time series. The tests include methods for testing unit roots,
independence, normality of the distribution, trend stationary, and
neglected non-linearities. In addition functions for testing for
higher serial correlations, for heteroskedasticity, for
autocorrelations of disturbances, for linearity, and functional
relations are provided. Furthermore, distribution functions for GARCH
modelling like the normalized Student-t and the GED together with
their skewed versions have been added which require for their
computation Heaviside and related functions. The demonstration
directory includes also a R-interface for the GarchOx software package.</FONT></FONT></P>
<P>
<FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2"><I>What is
included in the </I></FONT></FONT><I><FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2">fMultivar</FONT></FONT></I><FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2"><I> Package?</I>
The package fMultivar deals mainly with multivariate aspects of time
series analysis. Offered are algorithms for regression analysis
including neural network modelling with feedforward networks.
Furthermore functions for sytem equation modelling are available.
Technical analysis and benchmarking is another major issue of this
package. The collection offers a set of the most common technical
indicators together with functions for charting and benchmark
measurements. For the technical analysis of markets several trading
functions are implemented and also tools are availalble for a rolling
market analysis. A matrix addon with many functions which allow an
easy use of matrix manipulations is also part of this package. This
addon includes functions to generate several kind of standard
matrixes, to extract subsets of a matrix, and some function from
linear algebra. This matrix addon is thought to be used to manipulate
easily the data of multivariate time series objects.</FONT></FONT></P>
<P>
<FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2"><I>What is
included in the fExtremes Package?</I> The package fExtremes covers
topics from the field what is known as extreme value theory. The
package has functions for the exploratory data analysis of extreme
values in insurance, economics, and finance applications. Included
are plot functions for empirical distributions, quantile plots,
graphs exploring the properties of exceedences over a threshold,
plots for mean/sum ratio and for the development of records.
Furthermore functions for preprocessing data for extreme value
analysis are available offering tools to separate data beyond a
threshold value, to compute blockwise data like block maxima, and to
de-cluster point process data. One major aspect of this package is to
bring together the content of already existing R-packages with
additional new functionality for financial engineers on a common
platform investigating fluctuations of maxima, extremes via point
processes, and the extremal index. A new additional chapter on risk
measures, stress testing and copulae is planned to be added in the
near future.</FONT></FONT></P>
<P>
<FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2"><I>What is
included in the fOptions Package?</I> The package fOptions covers the
valuation of options including topics like the basics of option
pricing in the framework of Black and Scholes, including almost 100
functions for exotic options pricing, including the Heston-Nandi
option pricing approach mastering stochastic volatility, and Monte
Carlo simulations together with generators for low discrepancy
sequences. Beside the Black and Scholes option pricing formulas,
functions to valuate other plain vanilla options on commodities and
futures, and function to approximate American options are also
available. Some binomial tree models are implemented. The exotic
options part comes with a large number of functions to valuate
multiple exercise options, multiple asset options, lookback options,
barrier options, binary options, Asian options, and currency
translated options. Some functions for the investigation of
exponential Brownian motion in the context of Asian option valuation
have been recently added.</FONT></FONT></P>
<P>
<FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2"><I>What is
included in the </I></FONT></FONT><I><FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2">fPortfolio</FONT></FONT></I><FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2"><I> Package?</I>
The package fPortfolio covers multivariate distributions, assets
modelling, drawdown statistics, value-at-risk modelling, Markowitz
portfolios, two assets. The multivariate distribution functions allow
to compute multivariate densities and probabilities from skew normal
and skew Student-t distribution functions. Furthermore, multivariate
random daviates can be generated, and for multivariate data, the
parameters of the underlying distribution can be estimated by the
maximum log-likelihood estimation. The functions for assets modelling
can be used togenerate multivariate artficial data sets of assets,
which fit the parameters to a multivariate normal, skew normal, or
(skew) Student-t distribution. Included in the library are also
functions to compute some benchmark statistics. In addition a
function is provided which allows for the selection and clustering of
individual assets from portfolios using hierarchical and k-means
clustering approaches. Tools are provided to evaluate dtawdown
statistics. Availalble are functions for the density, distribution
function, and random number generation for the maximum drawdown
distribution. In addition the expectation of drawdowns for Brownian
motion can be computed. Value-at-Risk Modelling is another topic
which is consider in this library. Value-at-Risk and related risk
measures for a portfolio of assets can be evaluated. A group of
functions is dedicated to the Markowitz portfolio optimization
problem. Functions for the computation of the efficient frontier, for
the market line, for the tangency portfolio and for Monte Carlo
simulations are part of the library. Analytical formulas for the
Markowitz and for the Condition VaR Portfolio approach are implemented.</FONT></FONT></P>
<P>
<FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2"><I>Who are the
devellopers behind Rmetrics?</I> The writing of the functions which
are now available in Rmetrics started originally as assignments in my
lectures on "Econophysics" at the Institute of Theoretical
Physics at ETH Zürich. Since in the financial community and also
in my lectures MS Windows is the mostly used operating system,
special emphasis is given to the Microsofts OS. Thus, to teach
financial engineers it became quite natural for me to work under
Windows. For a broad distribution and acceptance of Rmetrics I
decided to continue the devellopment primarily under Windows 2000/XP.
There are no many people behind Rmetrics, currently it's only me. I
have my job as a lecturer at the Institute of Theoretical Physics at
ETH Zurich, and I'm the senior partner of an ETH spin-off software
company, Finance Online. So I have several responsibilities to take,
and as a consequence things might go slow ... The growing Rmetrics
collection is based on many statistical and financial functions which
were contributed by myself, my students, or were ported from many
other sources during the last seven years since I started my lectures
in "Econophysics" at ETH. I'm aware that the work is by far
not complete. Parts of the software are still untested, and may
contain some bugs. Contributions are welcome!</FONT></FONT></P>
</BLOCKQUOTE>
<P>
<FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2"><B><FONT COLOR="#7F0000">2.2
What machines does run Rmetrics on?</FONT></B></FONT></FONT></P>
<BLOCKQUOTE>
<P>
<FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2">Starting with
Version 1.7.1 Rmetrics is expected to run under the some platforms as
R. R is being developed for the Unix, Windows and Mac families of
operating systems. Support for Mac OS Classic ended with the 1.7
series. The current version of R will configure and build under a
number of common Unix platforms, for details we refer to the R FAQ.
Rmetrics is primarily build and maintained under MS Windows XP.</FONT></FONT></P>
</BLOCKQUOTE>
<P>
<FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2"><B><FONT COLOR="#7F0000">2.3
What is the Current Version of Rmetrics?</FONT></B></FONT></FONT></P>
<BLOCKQUOTE>
<P>
<FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2">The current
productive Version is 191.10057. The latest source packages are
located in the source directory on the Rmetrics Server, and the
latest binary files for the Windows OS are located in the download
directory themselves. The DESCRIPTION files hold the most recent
version number, please check. The most recent productive built for
Rmetrics is available from the CRAN Server.</FONT></FONT></P>
</BLOCKQUOTE>
<P>
<FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2"><B><FONT COLOR="#7F0000">2.4
How can Rmetrics be obtained and installed?</FONT></B></FONT></FONT></P>
<BLOCKQUOTE>
<P>
<FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2">The source code of
the productive packages Version 191.10057 can be downloaded from the
CRAN Server, also the binary packages for Windows, Mac OSX and Linux
operated computers. Rmetrics is also availalble in form of (compiled)
Debian Packages and part of the Knoppix Quantian CD. The current
Version of the included packages is 190.10055, beside fBasics which
is Version 190.10056. First of all, an R environment must be
installed on your sytem. Please follow the instructions as described
in R's FAQ. Then the Rmetrics packages can be installed in the usual
way as an ordinary R package. Nothing is special.</FONT></FONT></P>
</BLOCKQUOTE>
<P>
<FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2"><B><FONT COLOR="#7F0000">2.</FONT></B></FONT></FONT><B><FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2"><FONT COLOR="#7F0000">5</FONT></FONT></FONT></B><FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2"><B><FONT COLOR="#7F0000">
What documentation exists for Rmetrics?</FONT></B></FONT></FONT></P>
<BLOCKQUOTE>
<P>
<FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2">Online
documentation for most of the functions and variables in Rmetrics
exists lik in R, and can be printed on-screen by typing help(name)
(or ?name) at the R prompt, where name is the name of the topic help
is sought for. This documentation can also be made available as one
reference manual for on-line reading in HTML and PDF formats, and as
hardcopy via LaTeX. The Rmetrics distribution also comes with the
following manuals.</FONT></FONT></P>
<P>
<FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2">1. General
Information: A Flyer, a Fact Sheet, and a Reference Card</FONT></FONT><BR>
<FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2">2. Rmetrics
"Reference Guides" for the following packages: fBasics,
fSeries, fExtremes, and fOptions.</FONT></FONT><BR>
<FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2">3. Rmetrics "
Lecture Scripts", which can serve as User Guides. (Unfortunately
these Scripts are not always up to date.)</FONT></FONT></P>
</BLOCKQUOTE>
<P>
<FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2"><B><FONT COLOR="#7F0000">2.</FONT></B></FONT></FONT><B><FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2"><FONT COLOR="#7F0000">6</FONT></FONT></FONT></B><FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2"><B><FONT COLOR="#7F0000"> </FONT></B></FONT></FONT><B><FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2"><FONT COLOR="#7F0000">How
to cite</FONT></FONT></FONT></B><FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2"><B><FONT COLOR="#7F0000"> Rmetrics</FONT></B></FONT></FONT><B><FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2"><FONT COLOR="#7F0000">?</FONT></FONT></FONT></B></P>
<BLOCKQUOTE>
<P>
<FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2">To cite Rmetrics
in publications, use</FONT></FONT></P>
<BLOCKQUOTE>
<P>
<FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2">@Manual{,</FONT></FONT><BR>
<FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2">title = {Rmetrics:
An Environment for Teaching Financial Engineering and Computational
Finance with R},</FONT></FONT><BR>
<FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2">author = {Diethelm Würtz},</FONT></FONT><BR>
<FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2">organization =
{Rmetrics, ITP, ETH Zürich},</FONT></FONT><BR>
<FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2">address =
{Zürich, Switzerland},</FONT></FONT><BR>
<FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2">year = {2004},</FONT></FONT><BR>
<FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2">url =
{http://www.rmetrics.org} }</FONT></FONT></P>
</BLOCKQUOTE>
</BLOCKQUOTE>
<P>
<FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2"><B><FONT COLOR="#7F0000">2.</FONT></B></FONT></FONT><B><FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2"><FONT COLOR="#7F0000">7</FONT></FONT></FONT></B><FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2"><B><FONT COLOR="#7F0000">
What mailing lists exist for Rmetrics?</FONT></B></FONT></FONT></P>
<BLOCKQUOTE>
<P>
<FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2">There is no
special mailing list dedicated to Rmetrics. However, for topics
concerned with R and in relation to financial applications we
recommend the following lists: R-announce A moderated list for major
announcements about the development of R and the availability of new
code. R-packages A moderated list for announcements on the
availability of new or enhanced contributed packages. R-help The
"main'" R mailing list, for discussion about problems and
solutions using R, about the development of R and the availability of
new code, enhancements and patches to the source code and
documentation of R, comparison and compatibility with S and S-Plus,
and for the posting of nice examples and benchmarks. R-devel This
list is for discussions about the future of R, proposals of new
functionality, and pre-testing of new versions. It is meant for those
who maintain an active position in the development of R.
R-sig-finance This is the special interest group for 'R in Finance'.</FONT></FONT></P>
</BLOCKQUOTE>
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<FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2"><B><FONT COLOR="#7F0000">3
Rmetrics Programming Issues</FONT></B></FONT></FONT></P>
<BLOCKQUOTE>
<P>
<FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2">R and Rmetrics
give you many functions and tools at your fingertips to model, to
analyze and to visualize financial market data. This is the origin
for creating powerful rapid protopype systems for valuating and
judging your models.</FONT></FONT></P>
</BLOCKQUOTE>
<P>
<FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2"><B><FONT COLOR="#7F0000">3.1
Is Rmetrics Open Source Software?</FONT></B></FONT></FONT></P>
<BLOCKQUOTE>
<P>
<FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2">Rmetrics has a
commitment to full open source code development and distribution. All
contributions included in the Rmetrics packages are expected to exist
under an open source license such as GPL2. The reasons for this
commitment are the ability to test, to extend and to improve the
software in a convenient way, to encourage excellent scientific
computing and statistical practice in financial engineering and
computational finance, and to provide a workbench of tools that allow
to explore and expand the methods used to analyze financial market
data and to valuate financial instruments.</FONT></FONT></P>
</BLOCKQUOTE>
<P>
<FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2"><B><FONT COLOR="#7F0000">3.</FONT></B></FONT></FONT><B><FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2"><FONT COLOR="#7F0000">2</FONT></FONT></FONT></B><FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2"><B><FONT COLOR="#7F0000">
Why uses Rmetrics Builtin-Functions?</FONT></B></FONT></FONT></P>
<BLOCKQUOTE>
<P>
<FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2">All functions used
by Rmetrics and becoming part of the Rmetrics packages must be
available under a Debian conform license. R packages must be
availalble on the CRAN Server in Source and also in Binary form for
the Windows and Mac OSX operating systems. Furthermore, they must be
part of the (compiled) Debian distribution and the Knoppix Quantian
CD. For functions and packages which are not fulfilling these
conditions or are in conflict with other functions used in the
Rmetrics packages their functionality will be made available in form
of Builtin-Functions. These Builtin-Functions are GNU licensed
functions which were modified and copied to Rmetrics packages to
fullfill the required specifications. This is the only reason why we
have added Builtin functionality.</FONT></FONT></P>
</BLOCKQUOTE>
<P>
<FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2"><B><FONT COLOR="#7F0000">3.</FONT></B></FONT></FONT><B><FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2"><FONT COLOR="#7F0000">3</FONT></FONT></FONT></B><FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2"><B><FONT COLOR="#7F0000">
Can I use R and Rmetrics for commercial purposes?</FONT></B></FONT></FONT></P>
<BLOCKQUOTE>
<P>
<FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2">R and Rmetrics are
released under the GNU General Public License (GPL). If you have any
questions regarding the legality of using R and/or Rmetrics in any
particular situation you should bring it up with your legal counsel.
We are in no position to offer legal advice. More information on the
opinion of the R Core team about commercial usage can be found in the
R FAQ.</FONT></FONT></P>
</BLOCKQUOTE>
<P>
<FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2"><B><FONT COLOR="#7F0000">3.</FONT></B></FONT></FONT><B><FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2"><FONT COLOR="#7F0000">4</FONT></FONT></FONT></B><FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2"><B><FONT COLOR="#7F0000">
Rmetrics and Finmetrics</FONT></B></FONT></FONT></P>
<BLOCKQUOTE>
<P>
<FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2">Rmetrics and
Finmetrics are packages for modeling, analyzing, and visualizing
financial market data. Both packages offer a modern and flexible
environment for reliable and robust, predictive econometric modeling
and for valuation and pricing of financial instruments. What Rmetrics
is for R, is Finmetrics for S-Plus.</FONT></FONT></P>
</BLOCKQUOTE>
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<FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2">Diethelm Würtz</FONT></FONT><BR>
<FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2">Zürich, April 2005</FONT></FONT>
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