[R] R "FinMetrics" Package Available?

ripley@stats.ox.ac.uk ripley at stats.ox.ac.uk
Fri Mar 14 09:05:32 CET 2003

On Thu, 13 Mar 2003, Dirk Eddelbuettel wrote:

> On Fri, Mar 14, 2003 at 12:09:14AM -0400, kjetil brinchmann halvorsen wrote:
> > On 13 Mar 2003 at 20:26, William Vedder wrote:
> > 
> > There is no R version of the S+FinMetrics  package, and there would
> > be quite difficult to make one, as the c code underlying it 
> > is closed source. The DLL's for the ox version od ssfPack
> > (which underlies S+FinMetrics) is available, but uses lots of
> > calls to internal ox functions.
> AFAIK parts of that code have been used by BDR in the rewrite of the ts
> package that went into R 1.5.0 -- that hence R has essentially the same code
> by Koopman in StructTS, KalmanLike, tsSmooth, ...

No.  SSFPack is closed source, and all the code Dirk is talking about was 
written from scratch by me, to avoid any licencing problems.

There is a lot more to S+FinMetrics than the code based on SSFPack in any 

Brian D. Ripley,                  ripley at stats.ox.ac.uk
Professor of Applied Statistics,  http://www.stats.ox.ac.uk/~ripley/
University of Oxford,             Tel:  +44 1865 272861 (self)
1 South Parks Road,                     +44 1865 272866 (PA)
Oxford OX1 3TG, UK                Fax:  +44 1865 272595

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