[R-sig-finance] FX Options and Historical Financial Databases
vivek.satsangi at gmail.com
Thu Feb 2 12:54:13 CET 2006
1. Code: Not myself, no, but I trust you know of the existence of
RMetrics which gives you various support functions that would be
helpful, I imagine.
2. I use factset (which is basically a front end for compustat for my
purposes) and in one case, yahoo. I also use another vendor that I
cannot disclose because my professor is still evaluating them, but
basically they do some transforms of the compustat data with their
propreitary methodology. In each case, the data is in a CSV or Tab
delimited text file, and none of the idiosyncracies of the data do I
deal with in R (I use perl to do the transformations I want, basically
because I am very new to R.)
QUESTION: 3. Which prompts a question: Does anyone know how to call a
COM object from within R? Is it even possible? I know one can call R
as a COM object from VB, C++, what have you, but what about the
reverse? The data vendor supplies us with a COM object that negotiates
their gateway, checks permissions, etc. and it would be very
convenient and perhaps less error prone to call it from R rather than
downloading a CSV, uploading into R, doing a merge, etc.
> Message: 3
> Date: Wed, 1 Feb 2006 17:03:08 -0600
> From: "Wojciechowski, William"
> <William.Wojciechowski at oasiscapitalmarkets.com>
> Subject: [R-sig-finance] FX Options and Historical Financial Databases
> To: r-sig-finance at stat.math.ethz.ch
> <726E034CE6A58240B4AFF17E30A255591CBC97 at hou0mbx01.kochind.com>
> Content-Type: text/plain
> Has anybody written R-code that calculates
> FX option prices?
> Also, I'm curious about what historical databases
> that people are using with R.
-- Vivek Satsangi
Student, Rochester, NY USA
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