Summary
Financial engineering
Debian Science financial engineering and computational finance
This metapackage will install Debian Science packages for financial
engineering and computational finance.
Description
For a better overview of the project's availability as a Debian package, each head row has a color code according to this scheme:
If you discover a project which looks like a good candidate for Debian Science
to you, or if you have prepared an unofficial Debian package, please do not hesitate to
send a description of that project to the Debian Science mailing list
Links to other tasks
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Debian Science Financial engineering packages
Official Debian packages with high relevance
libstopt-dev
library for stochastic optimization problems (development package)
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Versions of package libstopt-dev |
Release | Version | Architectures |
bookworm | 5.5+dfsg-1 | amd64,arm64,armel,armhf,i386,mips64el,mipsel,ppc64el,s390x |
sid | 5.12+dfsg-3 | amd64,arm64,armel,armhf,i386,mips64el,ppc64el,riscv64,s390x |
bullseye-backports | 5.5+dfsg-1~bpo11+1 | amd64,armel,armhf,ppc64el,s390x |
trixie | 5.12+dfsg-3 | amd64,arm64,armel,armhf,i386,mips64el,ppc64el,riscv64,s390x |
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License: DFSG free
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The STochastic OPTimization library (StOpt) aims at providing tools in C++ for
solving some stochastic optimization problems encountered in finance or in the
industry. Different methods are available:
- dynamic programming methods based on Monte Carlo with regressions (global,
local, kernel and sparse regressors), for underlying states following some
uncontrolled Stochastic Differential Equations;
- dynamic programming with a representation of uncertainties with a tree:
transition problems are here solved by some discretizations of the commands,
resolution of LP with cut representation of the Bellman values;
- Semi-Lagrangian methods for Hamilton Jacobi Bellman general equations for
underlying states following some controlled Stochastic Differential
Equations;
- Stochastic Dual Dynamic Programming methods to deal with stochastic stock
management problems in high dimension. Uncertainties can be given by Monte
Carlo and can be represented by a state with a finite number of values
(tree);
- Some branching nesting methods to solve very high dimensional non linear
PDEs and some appearing in HJB problems. Besides some methods are provided
to solve by Monte Carlo some problems where the underlying stochastic state
is controlled.
For each method, a framework is provided to optimize the problem and then
simulate it out of the sample using the optimal commands previously computed.
Parallelization methods based on OpenMP and MPI are provided in this
framework permitting to solve high dimensional problems on clusters.
The library should be flexible enough to be used at different levels depending
on the user's willingness.
This package contains the headers and the static libraries (libstopt-mpi
which allows for multithreading, and libstopt which does not).
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python3-stopt
library for stochastic optimization problems (Python 3 bindings)
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Versions of package python3-stopt |
Release | Version | Architectures |
trixie | 5.12+dfsg-3 | amd64,arm64,armel,armhf,i386,mips64el,ppc64el,riscv64,s390x |
bullseye-backports | 5.5+dfsg-1~bpo11+1 | amd64,armel,armhf,ppc64el,s390x |
sid | 5.12+dfsg-3 | amd64,arm64,armel,armhf,i386,mips64el,ppc64el,riscv64,s390x |
bookworm | 5.5+dfsg-1 | amd64,arm64,armel,armhf,i386,mips64el,mipsel,ppc64el,s390x |
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License: DFSG free
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The STochastic OPTimization library (StOpt) aims at providing tools in C++ for
solving some stochastic optimization problems encountered in finance or in the
industry. Python 3 bindings are provided by this package in order to allow one
to use the C++ library in a Python code.
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r-cran-fasianoptions
GNU R package for financial engineering -- fAsianOptions
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Versions of package r-cran-fasianoptions |
Release | Version | Architectures |
buster | 3042.82-1 | amd64,arm64,armhf,i386 |
stretch | 3010.79-2 | amd64,arm64,armel,armhf,i386,mips,mips64el,mipsel,ppc64el,s390x |
jessie | 3010.79-1 | amd64,armel,armhf,i386 |
bullseye | 3042.82-1 | amd64,arm64,armel,armhf,i386,mips64el,mipsel,ppc64el,s390x |
Debtags of package r-cran-fasianoptions: |
field | finance |
suite | gnu |
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License: DFSG free
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This package of functions for financial engineering and computational
finance is part of Rmetrics, a collection of packages written and
compiled by Diethelm Wuertz.
fAsianOptions provides functions to price and hedge 'asian' (i.e.
averaging) options on one or several assets.
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r-cran-fassets
GNU R package for financial engineering -- fAssets
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Versions of package r-cran-fassets |
Release | Version | Architectures |
trixie | 4023.85-2 | all |
stretch | 3011.83-2 | amd64,arm64,armel,armhf,i386,mips,mips64el,mipsel,ppc64el,s390x |
jessie | 3011.82-1 | amd64,armel,armhf,i386 |
buster | 3042.84-1 | amd64,arm64,armhf,i386 |
bullseye | 3042.84-1 | amd64,arm64,armel,armhf,i386,mips64el,mipsel,ppc64el,s390x |
bookworm | 3042.84-1 | amd64,arm64,armel,armhf,i386,mips64el,mipsel,ppc64el,s390x |
sid | 4023.85-2 | all |
Debtags of package r-cran-fassets: |
field | finance |
suite | gnu |
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License: DFSG free
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This package provides functions for modelling and selection of
financial assets is part of Rmetrics, a collection of packages for
financial engineering and computational finance written and compiled
by Diethelm Wuertz and others.
fAssets provides asset selection and modelling functions.
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r-cran-fbasics
GNU R package for financial engineering -- fBasics
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Versions of package r-cran-fbasics |
Release | Version | Architectures |
trixie | 4041.97-1 | amd64,arm64,armel,armhf,i386,mips64el,ppc64el,riscv64,s390x |
jessie | 3010.86-1 | amd64,armel,armhf,i386 |
stretch | 3011.87-2 | amd64,arm64,armel,armhf,i386,mips,mips64el,mipsel,ppc64el,s390x |
sid | 4041.97-1 | amd64,arm64,armel,armhf,i386,mips64el,ppc64el,riscv64,s390x |
buster | 3042.89-2 | amd64,arm64,armhf,i386 |
bullseye | 3042.89.1-1 | amd64,arm64,armel,armhf,i386,mips64el,mipsel,ppc64el,s390x |
bookworm | 4021.93-1 | amd64,arm64,armel,armhf,i386,mips64el,mipsel,ppc64el,s390x |
Debtags of package r-cran-fbasics: |
devel | lang:r, library |
field | finance, statistics |
role | app-data |
suite | gnu |
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License: DFSG free
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This package of functions for financial engineering and computational
finance is part of Rmetrics, a collection of packages written and
compiled by Diethelm Wuertz.
fBasics provides basic statistical tests, distributions and other tools
used by many of the Rmetrics packages.
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r-cran-fbonds
GNU R package for financial engineering -- fBonds
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Versions of package r-cran-fbonds |
Release | Version | Architectures |
sid | 3042.78-4 | all |
bookworm | 3042.78-4 | all |
bullseye | 3042.78-4 | all |
buster | 3042.78-3 | all |
stretch | 3010.77-2 | amd64,arm64,armel,armhf,i386,mips,mips64el,mipsel,ppc64el,s390x |
jessie | 3010.77-1 | amd64,armel,armhf,i386 |
trixie | 3042.78-4 | all |
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License: DFSG free
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This package provides functions for bond and yield curve modelling
and is part of Rmetrics, a collection of packages for financial
engineering and computational finance written and compiled by
Diethelm Wuertz and others.
fBonds provides modelling functions for bonds and interest rate models.
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r-cran-fcopulae
GNU R package for financial engineering -- fCopulae
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Versions of package r-cran-fcopulae |
Release | Version | Architectures |
trixie | 4022.85-1 | amd64,arm64,armel,armhf,i386,mips64el,ppc64el,riscv64,s390x |
bullseye | 3042.82.1-1 | amd64,arm64,armel,armhf,i386,mips64el,mipsel,ppc64el,s390x |
jessie | 3011.81-1 | amd64,armel,armhf,i386 |
sid | 4022.85-1 | amd64,arm64,armel,armhf,i386,mips64el,ppc64el,riscv64,s390x |
stretch | 3011.81-2 | amd64,arm64,armel,armhf,i386,mips,mips64el,mipsel,ppc64el,s390x |
bookworm | 4022.85-1 | amd64,arm64,armel,armhf,i386,mips64el,mipsel,ppc64el,s390x |
buster | 3042.82-1 | amd64,arm64,armhf,i386 |
Debtags of package r-cran-fcopulae: |
field | finance |
suite | gnu |
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License: DFSG free
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This package of functions for financial engineering and computational
finance is part of Rmetrics, a collection of packages written and
compiled by Diethelm Wuertz.
fCopulae provides functions for (nonlinear) dependence structure modelling.
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r-cran-fexoticoptions
GNU R package for financial engineering -- fExoticOptions
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Versions of package r-cran-fexoticoptions |
Release | Version | Architectures |
bullseye | 3042.80-3 | all |
jessie | 2152.78-2 | all |
stretch | 2152.78-3 | all |
buster | 3042.80-2 | all |
Debtags of package r-cran-fexoticoptions: |
field | finance |
suite | gnu |
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License: DFSG free
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This package of functions for financial engineering and computational
finance is part of Rmetrics, a collection of packages written and
compiled by Diethelm Wuertz.
fExoticOptions provides functions to price and hedge exotic options
on one or several assets.
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r-cran-fextremes
GNU R package for financial engineering -- fExtremes
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Versions of package r-cran-fextremes |
Release | Version | Architectures |
sid | 4032.84-1 | all |
stretch | 3010.81-2 | all |
jessie | 3010.81-1 | all |
bookworm | 4021.83-1 | all |
bullseye | 3042.82-3 | all |
buster | 3042.82-2 | all |
trixie | 4032.84-1 | all |
Debtags of package r-cran-fextremes: |
devel | lang:r, library |
field | finance, statistics |
role | app-data |
suite | gnu |
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License: DFSG free
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This package of functions for financial engineering and computational
finance is part of Rmetrics, a collection of packages written and
compiled by Diethelm Wuertz.
fExtremes provides functions to analyze extreme values.
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r-cran-fgarch
GNU R package for financial engineering -- fGarch
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Versions of package r-cran-fgarch |
Release | Version | Architectures |
stretch | 3010.82.1-1 | amd64,arm64,armel,armhf,i386,mips,mips64el,mipsel,ppc64el,s390x |
buster | 3042.83.1-1 | amd64,arm64,armhf,i386 |
bookworm | 4022.89-1 | amd64,arm64,armel,armhf,i386,mips64el,mipsel,ppc64el,s390x |
sid | 4033.92-1 | amd64,arm64,armel,armhf,i386,mips64el,ppc64el,riscv64,s390x |
trixie | 4033.92-1 | amd64,arm64,armel,armhf,i386,mips64el,ppc64el,riscv64,s390x |
bullseye | 3042.83.2-1 | amd64,arm64,armel,armhf,i386,mips64el,mipsel,ppc64el,s390x |
jessie | 3010.82-1 | amd64,armel,armhf,i386 |
Debtags of package r-cran-fgarch: |
field | finance |
suite | gnu |
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License: DFSG free
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This package provides functions for GARCH volatility modelling and is
part of Rmetrics, a collection of packages for financial engineering
and computational finance written and compiled by Diethelm Wuertz and
others.
fGarch provides generalized autoregressive conditional heteroscastic
modelling functions.
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r-cran-fimport
GNU R package for financial engineering -- fImport
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Versions of package r-cran-fimport |
Release | Version | Architectures |
trixie | 4041.88-1 | all |
bullseye | 3042.85-3 | all |
buster | 3042.85-2 | all |
stretch | 3000.82-3 | all |
jessie | 3000.82-2 | all |
bookworm | 4021.86-1 | all |
sid | 4041.88-1 | all |
Debtags of package r-cran-fimport: |
devel | lang:r |
field | finance |
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License: DFSG free
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This package provides functions to import financial and economic data
series import and is part of Rmetrics, a collection of packages for
financial engineering and computational finance written and compiled
by Diethelm Wuertz and others.
fImport provides import function to access (free) data from Economagic,
the US Federal Reserve, Forecasts.Org, Yahoo and other web sources.
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r-cran-fmultivar
GNU R package for financial engineering -- fMultivar
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Versions of package r-cran-fmultivar |
Release | Version | Architectures |
jessie | 3011.78-1 | all |
stretch | 3011.78-2 | all |
buster | 3042.80-2 | all |
bullseye | 3042.80.1-2 | all |
bookworm | 4021.83-1 | all |
trixie | 4031.84-1 | all |
sid | 4031.84-1 | all |
Debtags of package r-cran-fmultivar: |
field | finance, mathematics |
suite | gnu |
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License: DFSG free
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This package of functions for financial engineering and computational
finance is part of Rmetrics, a collection of packages written and
compiled by Diethelm Wuertz.
fMultivar provides multivariate analysis for financial time
series.
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r-cran-fnonlinear
GNU R package for financial engineering -- fNonlinear
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Versions of package r-cran-fnonlinear |
Release | Version | Architectures |
stretch | 3010.78-2 | amd64,arm64,armel,armhf,i386,mips,mips64el,mipsel,ppc64el,s390x |
buster | 3042.79-1 | amd64,arm64,armhf,i386 |
trixie | 4041.82-1 | amd64,arm64,armel,armhf,i386,mips64el,ppc64el,riscv64,s390x |
bullseye | 3042.79-1 | amd64,arm64,armel,armhf,i386,mips64el,mipsel,ppc64el,s390x |
sid | 4041.82-1 | amd64,arm64,armel,armhf,i386,mips64el,ppc64el,riscv64,s390x |
bookworm | 4021.81-1 | amd64,arm64,armel,armhf,i386,mips64el,mipsel,ppc64el,s390x |
Debtags of package r-cran-fnonlinear: |
field | finance |
suite | gnu |
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License: DFSG free
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This package provides functions for modelling of nonlinear time
series and is part of Rmetrics, a collection of packages for
financial engineering and computational finance written and compiled
by Diethelm Wuertz and others.
fNonlinear provides nonlinear time series modelling functions.
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r-cran-foptions
金融工学用 GNU R パッケージ -- fOptions
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Versions of package r-cran-foptions |
Release | Version | Architectures |
jessie | 3010.83-1 | amd64,armel,armhf,i386 |
stretch | 3022.85-2 | amd64,arm64,armel,armhf,i386,mips,mips64el,mipsel,ppc64el,s390x |
buster | 3042.86-1 | amd64,arm64,armhf,i386 |
bullseye | 3042.86-1 | amd64,arm64,armel,armhf,i386,mips64el,mipsel,ppc64el,s390x |
Debtags of package r-cran-foptions: |
devel | lang:r, library |
field | finance, statistics |
role | app-data |
suite | gnu |
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License: DFSG free
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本パッケージの金融工学とコンピュータ金融用関数は Diethelm Wuertz により
書かれ、コンパイルされたパッケージ集である Rmetrics の一部です。
fOptions は、1 つないし複数の資産上のプレーンおよびエキゾチックオプ
ションの値付けとヘッジを行なうための関数を提供します。
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r-cran-fportfolio
GNU R package for financial engineering -- fPortfolio
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Versions of package r-cran-fportfolio |
Release | Version | Architectures |
stretch | 3011.81-2 | amd64,arm64,armel,armhf,i386,mips,mips64el,mipsel,ppc64el,s390x |
sid | 4023.84-2 | all |
bookworm | 3042.83.1-1 | amd64,arm64,armel,armhf,i386,mips64el,mipsel,ppc64el,s390x |
buster | 3042.83-1 | amd64,arm64,armhf,i386 |
jessie | 2130.80-2 | amd64,armel,armhf,i386 |
bullseye | 3042.83.1-1 | amd64,arm64,armel,armhf,i386,mips64el,mipsel,ppc64el,s390x |
Debtags of package r-cran-fportfolio: |
field | finance, mathematics |
suite | gnu |
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License: DFSG free
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This package of functions for financial engineering and computational
finance is part of Rmetrics, a collection of packages written and
compiled by Diethelm Wuertz.
fPortfolio provides functions for portfolio and asset price modeling, drawdown
statistics, value-at-risk and Markowitz portfolio construction.
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r-cran-fregression
GNU R package for financial engineering -- fRegression
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Versions of package r-cran-fregression |
Release | Version | Architectures |
sid | 4021.83-1 | amd64,arm64,armel,armhf,i386,mips64el,ppc64el,riscv64,s390x |
jessie | 3011.81-1 | amd64,armel,armhf,i386 |
bullseye | 3042.82-1 | amd64,arm64,armel,armhf,i386,mips64el,mipsel,ppc64el,s390x |
buster | 3042.82-1 | amd64,arm64,armhf,i386 |
stretch | 3011.81-2 | amd64,arm64,armel,armhf,i386,mips,mips64el,mipsel,ppc64el,s390x |
bookworm | 4021.83-1 | amd64,arm64,armel,armhf,i386,mips64el,mipsel,ppc64el,s390x |
trixie | 4021.83-1 | amd64,arm64,armel,armhf,i386,mips64el,ppc64el,riscv64,s390x |
Debtags of package r-cran-fregression: |
role | app-data |
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License: DFSG free
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This package provides functions for regression-based decision and prediction
and is part of Rmetrics, a collection of packages for financial engineering
and computational finance written and compiled by Diethelm Wuertz and others.
fRegression provides functions for regression-based decision and prediction.
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r-cran-ftrading
GNU R package for financial engineering -- fTrading
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Versions of package r-cran-ftrading |
Release | Version | Architectures |
jessie | 3010.78-1 | all |
sid | 3042.79-3 | all |
trixie | 3042.79-3 | all |
bookworm | 3042.79-3 | all |
bullseye | 3042.79-3 | all |
buster | 3042.79-2 | all |
stretch | 3010.78-2 | all |
Debtags of package r-cran-ftrading: |
field | finance |
suite | gnu |
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License: DFSG free
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This package provides functions to import financial and economic data
series import and is part of Rmetrics, a collection of packages for
financial engineering and computational finance written and compiled
by Diethelm Wuertz and others.
fTrading provides functions for technical trading analysis.
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r-cran-funitroots
GNU R package for financial engineering -- fUnitRoots
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Versions of package r-cran-funitroots |
Release | Version | Architectures |
stretch | 3010.78-2 | amd64,arm64,armel,armhf,i386,mips,mips64el,mipsel,ppc64el,s390x |
bullseye | 3042.79-1 | amd64,arm64,armel,armhf,i386,mips64el,mipsel,ppc64el,s390x |
jessie | 3010.78-1 | amd64,armel,armhf,i386 |
bookworm | 4021.80-1 | amd64,arm64,armel,armhf,i386,mips64el,mipsel,ppc64el,s390x |
buster | 3042.79-1 | amd64,arm64,armhf,i386 |
sid | 4040.81-1 | amd64,arm64,armel,armhf,i386,mips64el,ppc64el,riscv64,s390x |
trixie | 4040.81-1 | amd64,arm64,armel,armhf,i386,mips64el,ppc64el,riscv64,s390x |
Debtags of package r-cran-funitroots: |
devel | lang:r |
field | finance |
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License: DFSG free
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This package provides functions for unit root modelling of
non-stationary time series and is part of Rmetrics, a collection of
packages for financial engineering and computational finance written
and compiled by Diethelm Wuertz and others.
fUnitRoots provides modelling functions for non-stationary time series.
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r-cran-timedate
GNU R package for financial engineering -- timeDate
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Versions of package r-cran-timedate |
Release | Version | Architectures |
bookworm | 4022.108-1 | amd64,arm64,armel,armhf,i386,mips64el,mipsel,ppc64el,s390x |
jessie | 3010.98-1 | amd64,armel,armhf,i386 |
sid | 4041.110-1 | amd64,arm64,armel,armhf,i386,mips64el,ppc64el,riscv64,s390x |
bullseye | 3043.102-1 | amd64,arm64,armel,armhf,i386,mips64el,mipsel,ppc64el,s390x |
trixie | 4041.110-1 | amd64,arm64,armel,armhf,i386,mips64el,ppc64el,riscv64,s390x |
buster | 3043.102-1 | amd64,arm64,armhf,i386 |
stretch | 3012.100-2 | amd64,arm64,armel,armhf,i386,mips,mips64el,mipsel,ppc64el,s390x |
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License: DFSG free
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This package provides functions for chronological and calendarical
objects and is part of Rmetrics, a collection of packages for financial
engineering and computational finance written and compiled by
Diethelm Wuertz and others.
timeDate provides functions for chronological and calendarical objects.
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r-cran-timeseries
GNU R package for financial engineering -- timeSeries
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Versions of package r-cran-timeseries |
Release | Version | Architectures |
bullseye | 3062.100-2 | all |
bookworm | 4021.105-2 | all |
stretch | 3022.101.2-2 | amd64,arm64,armel,armhf,i386,mips,mips64el,mipsel,ppc64el,s390x |
jessie | 3010.97-1 | amd64,armel,armhf,i386 |
buster | 3042.102-2 | all |
sid | 4041.111-1 | all |
trixie | 4041.111-1 | all |
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License: DFSG free
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This package provides functions for financial time series objects and
is part of Rmetrics, a collection of packages for financial
engineering and computational finance written and compiled by
Diethelm Wuertz and others.
timeDate provides functions for financial time series objects.
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