Package: finlabR 1.0.0

finlabR: Portfolio Analytics and Simulation Toolkit

Tools for portfolio construction and risk analytics, including mean-variance optimization, conditional value at risk (expected shortfall) minimization, risk parity, regime clustering, correlation analysis, Monte Carlo simulation, and option pricing. Includes utilities for portfolio evaluation, clustering, and risk reporting. Methods are based in part on Markowitz (1952) <doi:10.1111/j.1540-6261.1952.tb01525.x>, Rockafellar and Uryasev (2000) <doi:10.21314/JOR.2000.038>, Maillard et al. (2010) <doi:10.3905/jpm.2010.36.4.060>, Black and Scholes (1973) <doi:10.1086/260062>, and Cox et al. (1979) <doi:10.1016/0304-405X(79)90015-1>.

Authors:Suyash Jindal [aut, cre]

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manual.pdf |manual.html✨
DESCRIPTION
card.svg |card.png
finlabR/json (API)

# Install 'finlabR' in R:
install.packages('finlabR', repos = c('https://suyashjindal.r-universe.dev', 'https://cloud.r-project.org'))
Datasets:

On CRAN:

Conda:

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

3.00 score 10 scripts 499 downloads 89 exports 56 dependencies

Last updated from:71f721a410. Checks:9 OK. Indexed: yes.

TargetResultTimeFilesSyslog
linux-devel-x86_64OK203
source / vignettesOK232
linux-release-x86_64OK201
macos-release-arm64OK225
macos-oldrel-arm64OK224
windows-develOK157
windows-releaseOK163
windows-oldrelOK117
wasm-releaseOK144

Exports:american_option_binomialannualize_returnsasset_clusteringasset_correlationasset_correlation_matrixbinomial_tree_optionbootstrap_returnsbs_option_pricecalc_returnsclt_demonstrationclt_pnl_ciclt_sample_meanscluster_book_kmeanscluster_summarycompute_efficient_frontierconsistency_checkcross_asset_analysiscross_validate_portfoliocvar_frontiercvar_minimizedetect_regimesdownload_pricesem_clusteringem_regimeembedding_2dequal_risk_contributionextract_featuresformat_weightsgaussian_mixture_emgbm_simulationgd_max_sharpegd_min_varianceget_example_pricesget_returnsgradient_descent_portfoliokmeans_regimeknn_classifyknn_money_flowmarket_regime_kmeansmax_sharpe_portfoliomc_price_simulationmc_return_distributionmc_statisticsmin_variance_portfoliominimize_cvarmonte_carlo_optionmvo_efficient_frontiermvo_max_sharpemvo_min_variancemvo_summaryoptimize_quotes_gdoption_greeksoption_price_simulationoption_price_summaryplot_asset_clustersplot_binomial_treeplot_correlation_heatmapplot_cvar_frontierplot_efficient_frontierplot_embeddingplot_gd_convergenceplot_mc_pathsplot_option_simulationplot_pca_biplotplot_regimesplot_risk_contributionportfolio_asset_clusteringportfolio_clusteringportfolio_cvarportfolio_pcaportfolio_performanceportfolio_tsneportfolio_umappredict_regime_knnprice_option_binomialprice_option_mcregime_statisticsrisk_contributionrisk_parity_portfoliorisk_parity_weightsrolling_correlationrun_quantportr_appsampling_distributionscree_plotsimulate_gbm_pathssimulate_orderbookunbiasedness_checkvar_cvarvar_cvar_analysis

Dependencies:base64encbslibcachemclassclicommonmarkcpp11curldigestfarverfastmapfontawesomefsggplot2gluegtablehtmltoolshttpuvisobandjquerylibjsonlitelabelinglaterlatticelifecyclemagrittrMASSmclustmemoisemimeotelPerformanceAnalyticsplyrpromisesquadprogquantmodR6rappdirsRColorBrewerRcppreshape2rlangS7sassscalesshinysourcetoolsstringistringrTTRvctrsviridisLitewithrxtablextszoo

End-to-End Workflow
1. Load prices and compute returns | 2. Correlation analysis across assets | 3. Mean-variance optimization | 4. CVaR and risk parity portfolios | 5. Regime clustering and asset clustering | 6. Risk analytics | 7. Monte Carlo and option pricing
Rendered fromfinlabR-workflow.Rmdusingknitr::rmarkdown

Last update: 2026-04-22
Started: 2026-04-22

finlabR: Portfolio Analytics and Simulation
Example dataset | Mean-variance optimization | CVaR minimization | Risk parity | Regime clustering | Asset clustering (PCA + k-means) | VaR / CVaR | Monte Carlo price simulation | Option pricing
Rendered fromfinlabR-intro.Rmdusingknitr::rmarkdown

Last update: 2026-04-22
Started: 2026-04-22

Readme and manuals

Help Manual

Help pageTopics
American Option Pricing via Binomial Treeamerican_option_binomial
Annualise Returnsannualize_returns
Asset Clustering with Optional PCA Reductionasset_clustering
Correlation Analysis Across Asset Groupsasset_correlation
Compute Cross-Asset Correlation Matrixasset_correlation_matrix
Binomial Tree Option Pricing (European)binomial_tree_option
Bootstrap Returnsbootstrap_returns
Black-Scholes Option Pricebs_option_price
Compute Asset Returns from a Price Seriescalc_returns
CLT Demonstrationclt_demonstration
Evaluate Strategy PnL using CLT Confidence Intervalsclt_pnl_ci
CLT Sample Meansclt_sample_means
Cluster Order Book States using K-Meanscluster_book_kmeans
Cluster Summarycluster_summary
Compute the Efficient Frontiercompute_efficient_frontier
Consistency Checkconsistency_check
Cross-Asset Correlation Analysiscross_asset_analysis
Time-Series Cross-Validation for Portfolio Modelscross_validate_portfolio
CVaR-Return Frontiercvar_frontier
CVaR-Minimising Portfolio (Softmax / Lightweight)cvar_minimize
Detect Regimes (General Interface)detect_regimes
Download Prices via quantmoddownload_prices
EM (Gaussian Mixture) Clusteringem_clustering
EM Algorithm (Gaussian Mixture) Regime Detectionem_regime
2D Embedding for Visualisationembedding_2d
Equal Risk Contribution (Risk Parity) Portfolioequal_risk_contribution
Example synthetic price datasetexample_prices
Extract Market Microstructure Featuresextract_features
Fetch Yahoo Finance close prices (wrapper around quantmod)fetch_yahoo_prices
Format Portfolio Weightsformat_weights
Gaussian Mixture Model via EM (Diagonal Covariance)gaussian_mixture_em
Geometric Brownian Motion Simulation (Rich Output)gbm_simulation
Gradient Descent Maximum Sharpe Portfoliogd_max_sharpe
Gradient Descent Minimum Variance Portfoliogd_min_variance
Example Price Dataget_example_prices
Compute Returns from Pricesget_returns
Simple gradient descent optimizergradient_descent
General Gradient Descent Portfolio (wrapper)gradient_descent_portfolio
K-Means Market Regime Detectionkmeans_regime
kNN Classifier for Financial Signalsknn_classify
kNN Money Flow Analysisknn_money_flow
k-Nearest Neighbors predictionknn_predict
Market Regime Clustering with K-Means on Rolling Featuresmarket_regime_kmeans
Maximum Sharpe Ratio Portfoliomax_sharpe_portfolio
Monte Carlo Price / Return Simulationmc_price_simulation
Monte Carlo Return Distribution Tablemc_return_distribution
Monte Carlo Statistics Summarymc_statistics
Global Minimum Variance Portfoliomin_variance_portfolio
Minimise Portfolio CVaR (Multi-Restart)minimize_cvar
Money Flow Index + kNN signalmoney_flow_knn
Monte Carlo Option Pricingmonte_carlo_option
Efficient Frontier - Lightweight Scan (Raw Scale)mvo_efficient_frontier
Maximum Sharpe Portfolio - Frontier Scanmvo_max_sharpe
Minimum Variance Portfolio - Lightweight (Raw Scale)mvo_min_variance
MVO Summarymvo_summary
Optimize Quoting Parameters via Gradient Descentoptimize_quotes_gd
Option Greeks (Black-Scholes Analytical)option_greeks
Option Price Simulation: CLT Demonstration (Large N)option_price_simulation
Option Pricing Summary via Repeated Monte Carlooption_price_summary
Performance summary using PerformanceAnalyticsperformance_summary
Plot Asset Clustersplot_asset_clusters
Plot Binomial Tree (Small Trees)plot_binomial_tree
Plot Correlation Heatmapplot_correlation_heatmap
Plot CVaR Frontierplot_cvar_frontier
Plot the Efficient Frontierplot_efficient_frontier
Plot 2D Embedding (t-SNE or UMAP)plot_embedding
Plot Gradient Descent Convergenceplot_gd_convergence
Plot Monte Carlo Pathsplot_mc_paths
Plot Monte Carlo Option Pathsplot_option_simulation
Plot PCA Biplotplot_pca_biplot
Plot Market Regimesplot_regimes
Plot Risk Contributionsplot_risk_contribution
Portfolio Asset Clustering (Extended)portfolio_asset_clustering
Portfolio Clustering (full pipeline)portfolio_clustering
Portfolio CVaR (Expected Shortfall)portfolio_cvar
Portfolio PCA Analysisportfolio_pca
Portfolio Performance Summaryportfolio_performance
Portfolio t-SNE Embeddingportfolio_tsne
Portfolio UMAP Embeddingportfolio_umap
Predict Regime using kNNpredict_regime_knn
Binomial Tree Option Pricing (European / American)price_option_binomial
Monte Carlo European Option Pricingprice_option_mc
Regime Statisticsregime_statistics
Compute Risk Contributionsrisk_contribution
Risk Parity Portfolio (Convenience Wrapper)risk_parity_portfolio
Risk Parity Weights — Fast Iterative Solverrisk_parity_weights
Rolling Correlationrolling_correlation
Rolling cross-validation for return forecastsrolling_cv_forecast
Launch the QuantPortR Interactive Dashboardrun_quantportr_app
Sampling Distribution Demonstrationsampling_distribution
Scree Plotscree_plot
Simulate GBM Price Pathssimulate_gbm_paths
Simulate a Basic Order Booksimulate_orderbook
Unbiasedness Checkunbiasedness_check
VaR and CVaR analysisvar_cvar
Full VaR / CVaR Portfolio Analysisvar_cvar_analysis