[R-SIG-Finance] R and FinCad

[Dirk Eddelbuettel]

On Thu, Apr 12, 2007 at 01:08:12PM +0100, Robert Sams wrote:
> 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.

There really should be!!  The Quantlibbers just sent out something
like a call for 'wider participation' on the -devel list.  

My RQuantLib project was always meant as 'proof of concept' only -- if
folks want to contribute I am more than happy to include their code,
or to replace mine.  Dominick's rather nice additions are a good
example.

Also, Joe Wang did some fabulous work with the _automated_ SWIG glue
that provides essentially _all_ QL functions directly to R. Still not
that easy to use and somewhat heavy on memory but way more than a start.

So if a few people would make a serious push, we could have some
really sharp R/QL integration in a matter of weeks.  Some C++ needed,
of course, but doable on both major OS flavours.

Dirk

-- 
Hell, there are no rules here - we're trying to accomplish something. 
                                                  -- Thomas A. Edison