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R and FinCad

3 messages · Robert Sams, Yong Xiao, Stampfl Bernd 0969 SPI

Original
Robert Sams
# 
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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1 day later
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:
8 days later
Stampfl Bernd 0969 SPI
# 
I was writing a simple code to compare different Moving Averages (using
rollmean).

CODE:
**************************************************************
FX.Window.A <- 5

FX.Window.B <- 20

FX.Window.Max <- 100

 

FX.Price <- read.csv("MAFX.csv")

FX.Price <- na.omit(FX.Price[,2])

#summary(FX.Price)

 

#FX.Date <-  na.omit(FX.Price[,1])

#FX.Date

FX.Date <- "2007-01-11"

FX.Price <- zooreg(FX.Price,start=as.Date(FX.Date))

 

Mean.Result = c()

  for(i in 1:FX.Window.Max){

    FX.Window.A[i+1] <- rollmean(FX.Price,FX.Window.A[i])

    Mean.Result[i]=FX.Window.A[i+1]

}

 

Rollmean.A <- rollmean(FX.Price,FX.Window.A)

Rollmean.B <- rollmean(FX.Price,FX.Window.B)
**************************************************************

I tried to open a vector for storing the results but I got an error
message - 'cause the longer the windows the less results you get. 

Do you know some ways to fill the missing data?

Hope you can help me guys. I just switched to R and therefore a
semi-novice.

Thanks a lot.

Bern