Resource of Finance Related GAUSS Code

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My code is divided into the following categories:

• Common Simple user-defined procedures I call often in the programs and procedures which follow. You may want to copy the files contained in common.zip to your \gauss\src\ directory before using some of the longer programs contained in the subsections which follow.



• Fixed Income Procedures for cleaning up and working with U.S. Treasury data. Includes methods for estimating zero-coupon equivalent yield curves and forward rate curves. Also includes useful procedures for calculating times to each cash flow, cash flow matrices, yield to maturities, duration and more.



• Option pricing Useful procedures for pricing and working with both American & European options.



• Options data manipulation Procedures which are useful for translating Berkeley Options Database files, CME files (which are updated each trading day at: ftp.cme.com/pub/time ) and Internet "option chains" into Gauss datasets for further manipulation and analysis.



• Risk Neutral Density Estimation Various procedures for estimating the risk neutral pdf of an underlying asset at expiration, using options data.



• Simulation Procedures for simulating Garch and continuous time processes, as well as procedures to whiten and recolor error terms which are useful for bootstrapping terminal asset prices.



• Graphing Interactive graphing utilities which do not require the direct use of the various global variables in pgraph. These procedures allow you to save graphs with all formatting information for subsequent recall and/or editing. They also allow you to recall several previous graphs at once for multiple graphing on the same page.



• Date and Time Procedures Procedures which are useful for working with dates and time. Create a calender matrix, identify the third Friday of each month, count the number of calender or trading days between dates, minutes past an hour etc.



• Miscellaneous Finance Procedures Currently includes a procedure to calculate a vector of yield to maturities given a set of bond characteristics, as well as a procedure to estimate OLS coefficients with Newey-West/Andrews type standard errors for the case of heteroscedastic and/or serially correlated errors.(Particularly useful when using overlapping time intervals such as weekly returns sampled each trading day)

Other Gauss Resources:

• www.aptech.comMakers of Gauss. Contains ordering information, as well as links to other resources.
• http: //gurukul.ucc.american.edu/econ/gaussres/GAUSSIDX.HTM Gauss Archive at American University. Contains commented source code as well as several links to various other archives and resources.

Please send any inquiries, comments or bugs to Cameron Rookley at: cr@cameronrookley.com.

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