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Hi, I use a Bloomberg terminal in the office and Bloomberg Anywhere (through Mozilla Firefox) at my home. Is there a way to set up Rblpapi connection on my home PC w/o additional purchases from Bloomberg? Regards, Oleg Mubarakshin...

Hi everyone, Happy New Year! Could you please clarify whether the Rblpapi library supports the use of Bloomberg Query Language (BQL)? In particular, I would like to understand whether BQL queries can be executed via Rblpapi, or if the functionality...

Hi all, Does anyone know how to fetch dividends (pay and entitlement dates and amount) with bdh() function? All the fields return NA Many thanks, Oleg Sent from my Huawei -------------- next part -------------- A non-text attachment was scrubbed... Name: flds...

Dear colleagues, Where can I download free historical options data (market premiums or implied volatilities of options of futures contracts or stocks)? Kind regards, Oleg Mubarakshin om at quant-lab.com -------------- next part -------------- An HTML attachment was scrubbed... URL: <https...

Dear colleagues, How can I create time series (ts) object with specified dates? E.g. data = c(100,101,99) dates = c(?2013-05-20?,?2013-05-21?,?2013-05-30?) and plot it with specified time range? In case...

That's my fault. I can't share Bloomberg's data I have the Russian market data (it is not from Bloomberg), Russian ruble for example. http://postimg.org/image/fqj4psk59/ Quite volatile FX pair USD/RUB - ATM vola of...

It works. Thank you, Scott! King regards, Oleg -----???????? ?????????----- From: Scott @ Statblocks Sent: Sunday, September 18, 2016 1:33 AM To: Oleg Mubarakshin Cc: r-sig-finance at r-project.org Subject: Re: [R-SIG-Finance] Rblpapi Yes, just download the...

Hi Team, Maybe someone can help me with the below. What would be the best way to fit the BTC/USD forward curve? It is quite agile (including its shape). Please see attached example: Deribit's market data, including futures...

Hi Chris, If you are looking for a number (not a smile or a surface) of volatility, probably a variance swap methodology can help you with it please start with it http://www.emanuelderman.com/media/gs-volatility_swaps.pdf...

Dear Katherine, I'm an option trader not a risk manager and it is my own opinion only: you need simulate both: dynamics of underlying and volatility. I would use physical volatility to pricing an option, and apply the GARCH...

Ilya, equity assets (shares, indices, ETF, etc) have negative volatility correlation (skew in options) - volatility increases when price of asset go down, and vola decreases when price rises. a quant trader can trade options (implied) vola level and skew VS...

I use R for FX options market-making and trading on the Moscow Exchange (Russia). Can I present my framework (it is not a package, just code with my own functions) under this event? I developed a method for the...

Vishnu, calculation the Greeks for Eur options has very easy code if you need just the Greeks calculation - you can use my function for it: # Function calculates option premium and sensitivities, # setting b = r we get Black and Scholes' stock...

Hi Tom! I hope you do not try to get option prices with using vol calculated from underlying (so called realized or historical vol). BSM model is a model based on GBM, that we do not see in the real...