[R-sig-finance] FX Options and Historical Financial Databases
Robert at sanctumfi.com
Thu Feb 2 13:10:44 CET 2006
Regarding #3, see Thomas Baier's package rcom (CRAN) and the RDCOM package at http://www.omegahat.org/.
> -----Original Message-----
> From: Vivek Satsangi [mailto:vivek.satsangi at gmail.com]
> Sent: Thursday, February 02, 2006 11:54 AM
> To: r-sig-finance at stat.math.ethz.ch
> Subject: Re: [R-sig-finance] FX Options and Historical Financial
> 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
> > Message-ID:
> <726E034CE6A58240B4AFF17E30A255591CBC97 at hou0mbx01.kochind.com>
> > Content-Type: text/plain
> > Hi,
> > Has anybody written R-code that calculates
> > FX option prices?
> > Also, I'm curious about what historical databases
> > that people are using with R.
> > Thanks,
> > Will
> -- Vivek Satsangi
> Student, Rochester, NY USA
> R-sig-finance at stat.math.ethz.ch mailing list
More information about the R-sig-finance