[R-SIG-Finance] R and FinCad

[Robert Sams]

I've used FinCadXL for over a year. So far, all calculations approximate
reasonably well to bloomberg analytics and dealer valuations (although I
use it primarily for pricing vanilla swaps, swaptions, and bond math).
It is the most comprehensive function suite for interest rate
derivatives and benefits from being (I think) the most widely used
library in the industry. Documentation is reasonably good.

But it is a binary-only library. The world would be a better place if
there was critical mass behind something like QuantLib.

Robert

-----Original Message-----
From: Yong Xiao [mailto:yxiaomail at gmail.com] 
Sent: 12 April 2007 03:25
To: Robert Sams
Cc: Ryan Sheftel; r-sig-finance at stat.math.ethz.ch
Subject: Re: [R-SIG-Finance] R and FinCad

FinCad can be used to price derivatives. It's distributed in Excel lib
(FinCad XL) and C++ lib.

By the way, Ryan and Robert, do you have any commnet on FinCad? I
recently used FinCad to price a CMS spread note, but found the price
much different from the dealer's quotes.

Regards,
Yong

On 4/10/07, Robert Sams <robert at sanctumfi.com> wrote:
> Hi Ryan,
>
> I've considered this and have corresponded with one of fincad's 
> developers regarding R wrappers to the developer kit. I'll email the 
> correspondence to you directly as it contains allot of useful sample 
> code.
>
> Do you want to do this on windows or linux? I might be interested in 
> working with you on this.. need to decide whether I need it enough to 
> warrant the cost (around 15k usd, if i remember correctly).
>
> Regards,
> Robert
>
> -----Original Message-----
> From: r-sig-finance-bounces at stat.math.ethz.ch
> [mailto:r-sig-finance-bounces at stat.math.ethz.ch] On Behalf Of Ryan 
> Sheftel
> Sent: 06 April 2007 18:03
> To: r-sig-finance at stat.math.ethz.ch
> Subject: [R-SIG-Finance] R and FinCad
>
> This is my first post to this list, so apologies in advance if I am 
> doing something wrong.
>
> My question is if anyone has wrapped the C++ SDK version of FinCad 
> Developer http://www.fincad.com/ into R. I am aware that it is 
> possible, but also that each function must be wrapped individually. I 
> wanted to know if anyone had begun this process and we could share the
code/work.
> I know that RMetrics and QuantLib exist and are open source, but they 
> do not have enough of the analytics yet to be a complete solution.
>
> Thanks,
> Ryan
>
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