[R-SIG-Finance] Confidence Intervals

[Warren Loken]

Anyone - 

We have been working on a predictive default model for residential
mortgages using the logistic regression functions in r.  We have had
satisfactory results in finding predictive independent variables. We are
now attempting to build confidence intervals.  We used the vcov function
to obtain the variance and covariance coefficients.  Is there a function
in r that will use the results of the vcov function that can be run
against the data to obtain the covariance value?  We have numerous
variables and are finding it difficult at best to accomplish outside of
a program.

Any help would be much appreciated

Warren Loken
Clayton Fixed Income Services
1700 lincoln street, suite 1600
denver, colorado 80203
T: 720.947.6909
F: 720.947.5181

wloken at clayton.com


-----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 Paul
DeBruicker
Sent: Tuesday, May 01, 2007 9:18 AM
To: r-sig-finance
Subject: [R-SIG-Finance] Bloomberg bulk data download - example code

Anyone -

RBloomberg doesn't support downloading bulk data items from Bloomberg.
I wanted to download the option chains and dividend histories for
several equities.  I read the sources for RBloomberg to try to see if
I could patch it, but stopped short because I was getting distracted
from the goal of downloading the data.    Below is the code and some
notes I used to download the information I wanted using WinXP and
R-2.5.0.  I'm sure there are more robust ways, but this one met my
needs.

If you run the code below you should get an error returned for the
option chain (OPT_CHAIN) for the Vanguard S&P 500 index fund (VFINX
Equity) but everything else will return usable data.  Its my
understanding that there are over 400 bulk download fields available,
and I've only tested these functions with 10 of them.  You must have
Bloomberg installed on the machine you run this code on.

Paul








library(RDCOMClient)
c<-COMCreate("Bloomberg.Data.1") #open a COM connection

secs<-c("VFINX Equity","INTC Equity")
flds<-c("EQY_DVD_HIST_ALL","OPT_CHAIN")

# blpGetBulkData just calls the BlpSubscribe function

blpGetBulkData<-function(connection=c,securities=secs,fields=flds){
	dat<-connection$BlpSubscribe(Security=securities,Fields=fields)
	return(dat)
	}


blpb.data<-blpGetBulkData(c,flds,secs)

# Bloomberg returns the data in a nested list (data.frame?). If there
is an error from Bloomberg
# the data comes in as list(list("Error Message")) and if its
successful the data
# comes in as list(list(list(DATA))) where DATA is comprised of any
number of equal
# length lists.  The outer most list is for the fields, the second one
in is for the securities
# the third one in is for each list of data.


# The blpBulkDataFormat function names the outer most list after the
fields in the download
# and the next list in after the securities

blpBulkDataFormat<-function(data=blpb.data,
fields=flds,securities=secs){

	names(data)<-fields
	for (i in 1:length(flds)) names(data[[i]])<-sub("
+",".",securities)
	retval<-data
	return(retval)
}

bdf<-blpBulkDataFormat(blpb.data,flds,secs)
bdf

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