javeyyu / ifrogs

ifrogs R package

ifrogs

ifrogs: R package with certain functions useful in finance research

Functions

The following are the functions included in this package:

dtd

This function implements the Merton Model (1974) to derive the measure 'Distance to default' which can be used to assess the credit risk of a firm. The measure indicates how far is the firm from the default point.

ic

This function estimates the impact cost of trading a given quantity of a security on both the buy side and the sell side of the limit order book.

pdshare

This function is used to estimate the two most widely used approaches to measure price discovery: information share and component share. It can be used to determine the share of spot and futures market for a stock in price discovery.

vix_ci

This function implements the methodology for constructing confidence intervals for model based volatility indexes.

Author

• Finance Research Group, IGIDR - FRG