This folder contains the R scripts and datasets for:
Mastering R in Finance, Chapter 11: Asset and Liability Management

Authors: Dániel Havran, István Margitai
21 October 2014

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The files:

---------scripts:
2078OT_01_11_ALMDemo.R      an R script that collects all command line scripts in the book	
2078OT_01_11_bankALM.R      an R script that stores the pre-defined functions that it needs 
                            to load to run ALMDemo.R

---------datasets:
portfolio.csv     csv data about a stylized bank asset and liability portfolio
                  it is made by the authors for illustrative perspectives
market.csv        csv data about a yield curve on the day of 30-Sept-2014, 
                  provided by the European Central Bank, these kind of data 
                  can be freely downloaded from the homepage of ECB Statistical 
                  Data Warehouse
ecb_nmd_data.csv  csv data, time series about yields, bank coupons and volume of 
                  non-maturing depostits. It is provided by the European Central
                  Bank, these kind of data can be freely downloaded from the 
                  homepage of ECB Statistical Data Warehouse
ecb_yc_data.csv   csv data, time series about yields with different maturities.
                  It is provided by the European Central
                  Bank, these kind of data can be freely downloaded from the 
                  homepage of ECB Statistical Data Warehouse
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