quarks

1.1.6

Simple Methods for Calculating and Backtesting Value at Risk and Expected Shortfall

0packages depend

5.1Kdownloads / year

–test coverage

13/13checks pass

Overview

About

Maintained by Sebastian LetmatheFirst published 2021-02-1719 releasesCRAN page ↗

Enables the user to calculate Value at Risk (VaR) and Expected Shortfall (ES) by means of various types of historical simulation. Currently plain-, age-, volatility-weighted- and filtered historical simulation are implemented in this package. Volatility weighting can be carried out via an exponentially weighted moving average model (EWMA) or other GARCH-type models. The performance can be assessed via Traffic Light Test, Coverage Tests and Loss Functions. The methods of the package are described in Gurrola-Perez, P. and Murphy, D. (2015) https://EconPapers.repec.org/RePEc:boe:boeewp:0525 as well as McNeil, J., Frey, R., and Embrechts, P. (2015) https://ideas.repec.org/b/pup/pbooks/10496.html.

Install

R (CRAN)Ubuntu (r2u)Fedora (COPR)openSUSE (OBS)

install.packages("quarks", repos = "https://cloud.r-project.org/")

Installs the current CRAN release. Prebuilt binaries on Windows and macOS.

Release

# enable cranapt (r2u) if it is not already set up, then install
grep -rqs r2u.stat.illinois.edu /etc/apt/sources.list /etc/apt/sources.list.d/ \
  || curl -fsSL https://raw.githubusercontent.com/eddelbuettel/r2u/master/inst/scripts/add_cranapt_noble.sh | sudo bash
sudo apt install -y r-cran-quarks

Fast Ubuntu binaries via r2u (no compilation). The cranapt setup runs once and is skipped when it is already enabled.

bspm (used by r2u) also needs make: sudo apt install make

# enable the iucar/cran COPR if it is not already present, then install
ls /etc/yum.repos.d/*iucar*cran*.repo >/dev/null 2>&1 \
  || sudo dnf copr enable -y iucar/cran
sudo dnf install -y R-CRAN-quarks

RPMs from the iucar/cran COPR, rebuilt from CRAN.

For install.packages() integration in R, also: sudo dnf install R-CoprManager

# add the autoCRAN OBS repo (Tumbleweed) if it is missing, then install
zypper -q lr | grep -qi autoCRAN \
  || sudo zypper addrepo https://download.opensuse.org/repositories/devel:/languages:/R:/autoCRAN/openSUSE_Tumbleweed/devel:languages:R:autoCRAN.repo
sudo zypper install -y R-quarks

RPMs auto-built from CRAN on openSUSE OBS (Tumbleweed).

Health

CRAN checks

13OK

Slowest check: 2.8 min · r-devel-linux-x86_64-fedora-clang

Code health

None

Tests · ratio 0.00

not tracked

Coverage

100%

Documentation · exports

Dependencies · direct

Check history

OK2026-06-09
13 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
ERROR2026-06-08
12 OK · 0 NOTE · 0 WARNING · 1 ERROR · 0 FAILURE
OK2026-03-10
14 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE

Documentation

READMEYes · 533 wordsVignettesNopkgdown siteNoNEWSYes · 100% structuredCode of conductNoContributing guideNo

Examples that run: 100%
Documented parameters: 88%
Return-value docs: 100%
References docs: 11%

Downloads

5.1K

CRAN downloads in the past year

Rank #10,865 · ~14/day · ~424/mo

Releases R versions

Daily download trend is not available in this view yet.

26530 days

98790 days

5.1K1 year

Compare downloads with other packages →

Also on220 r2u34 autocran

Dependencies

Declared dependencies

9 external dependencies (excludes base and recommended)

Depends (1)

R >= 2.10

Imports (11)

dygraphs ggplot2graphicsprogress rugarch shiny shinyjs smootsstatsyfR xts

LinkingTo (0)

none

Suggests (0)

none

Enhances (0)

none

Dependency license breakdown →

Reverse dependencies

0direct

0indirect

Nothing depends on this yet.

Code & Tests

Code Composition

R 1,695 (66%)Rd 887 (34%)

Code characteristics

Object systems

S32

Cyclomatic complexity: 20.0 median / 69 max

Test coverage

Line coverage

–

Expression

–

Tests / Examples

–

Functions

13 10 exported

Complexity

19.8 avg / 69 max

Call network

13 nodes / 2 edges

Call graph

Open call graph →

Loading call graph…

Lowest coverage

Per-function coverage is not measured for this package yet.

Datasets

Bundled datasets · 6

Name	Class	Rows × Cols	Also ships in
DAX	tbl_df/tbl/data.frame	6,094 × 11	–
DJI	tbl_df/tbl/data.frame	6,037 × 11	–
FTSE100	tbl_df/tbl/data.frame	6,060 × 11	–
HSI	tbl_df/tbl/data.frame	5,914 × 11	–
NIK225	tbl_df/tbl/data.frame	5,881 × 11	–
SP500	tbl_df/tbl/data.frame	6,037 × 11	–

People & History

People (1)

Maintainer (1)

Sebastian Letmathe

Author, Maintainer

Authors (1)

Sebastian Letmathe

Author, Maintainer

Package Timeline

19 releases. Pick two to compare their code metrics. R releases are shown for context.

R
R 4.6.0 released · 2026-04-24
1.1.6Latest
2026-01-10 · current release · diff ↗
1.1.5
2025-10-13 · diff ↗
R
R 4.5.0 released · 2025-04-11
1.1.4
2024-06-08 · diff ↗
R
R 4.4.0 released · 2024-04-24
R
R 4.3.0 released · 2023-04-21
1.1.3
2022-08-31 · diff ↗
1.1.2
2022-06-20 · diff ↗
1.1.1
2022-06-13 · diff ↗
R
R 4.2.0 released · 2022-04-22
1.1.0
2022-03-31 · diff ↗
1.0.11
2022-01-09 · diff ↗
1.0.10
2021-11-21 · diff ↗
1.0.9
2021-09-06 · diff ↗
1.0.8
2021-09-03 · diff ↗

Show 10 earlier events

1.0.7
2021-09-02 · diff ↗
R
R 4.1.0 released · 2021-05-18
1.0.6
2021-04-25 · diff ↗
1.0.5
2021-03-01 · diff ↗
1.0.4
2021-02-21 · diff ↗
1.0.3
2021-02-20 · diff ↗
1.0.2
2021-02-20 · diff ↗
1.0.1
2021-02-18 · diff ↗
1.0.0
2021-02-17
R
R 4.0.0 released · 2020-04-24

Package metadata

First published: 2021-02-17
Total releases: 19 / 5 yrs
License: GPL-3 OSI
Minimum R: ≥ 2.10
Bundled data: 1.3 MB / 6 files
Download size: 3.0 MB
Installed size: not tracked yet
With dependencies: not tracked yet

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