Since no one was able to answer my previous question, I am going to try to backtest a modern convertible bond arbitrage strategy myself (perhaps I'll report the results back here, if you're lucky :)). What suite of R packages should I use? Where can I get the data (free or cheap, preferably)?
Updated to add:
The main question here is what pre-packaged routines or packages are available to test convertible bond arbitrage models (see linked question for description of models), not simply quantitative models in general. I presume they are most likely to be available in R, but I'd take Matlab, too. The cbprice function in the Fixed-Income Toolbox leaves much to be desired, here.