Adds some proba/stats commands, authored by Hicham Ettahri:
Code : Tout sélectionner
# cov_matrix
# pca_eigenvalues
# pca_explained_ratio
# pca_V
# pca_loadings
# pca_scores
# pca_select_q
# pca
# mlr_beta
# mlr_predict
# mlr_residuals
# mlr_r2
# mlr_sigma2
# mlr_mse
# mlr_ic
# mlr
# brownian
# gbm
# ornstein_uhlenbeck
# cir
# sde_euler
# sde_milstein
# bs_price
# bs_delta
# bs_gamma
# bs_vega
# bs_theta
# bs_rho
# bs_greeks
# bs_implied_vol
# mc_estimate
# mc_mean
# mc_bs_price
# mc_estimate
# mc_mean
# mc_bs_price
# mc_mean_antithetic
# mc_bs_price_antithetic
# fit_gbm
# fit_ou