[R-SIG-Finance] R and FinCad

[Yong Xiao]

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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