[R-SIG-Finance] R-project and the risk measurement for mutual and hedge funds

[Brian G. Peterson]

Fabrice McShort wrote:
> I am hyper motivated to explore your propositions. 
 > But, I am sure that I will need your help
 > (we will see how in the future).
> Can you give me an idea of the cost for implementing this solution? 


On the Sweave approach, here's a quick outline of possible times:

- Install and Configure Lyx editor to talk to R
1-2 hours

- modify the simple Sweave/Lyx examples to do something more interesting
1 hour

- build a report using existing functions,tables, and graphs with 
file-based data
1-2 days (assuming a Pertrac or Morningstar style report)

- database linkage
time will vary based on your data and database

- web download of data
time will vary, but usually ~1-2 hours to write and test new download 
function

- additional tables/graphs
time will vary based on what you need, obviously

If you need to give these times to your boss, double or triple them ;).

I'd recommend starting with analytical functions that are already 
written, as in PerformanceAnalytics or RMetrics.  Since you're just 
getting started with R, it probably makes sense to use other functions 
first before trying to modify them to fit your more specific requirements.

Regards,

   - Brian