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Nov
18
comment The option values are different from two r package - foptions,rquantlib
No, that is in-line with the documentation and moves the price for me from 29.82 to 29.91.
Sep
23
comment Binary Option valuation problem in R using RQuantLib; also result validation aspect
@BAR: Sure. This isn't the only venue for RQuantLib questions. But next time we have one here we can now close and point to this one.
Aug
29
comment Shrinkage Estimator giving unrealistic portfolio variances
I'm voting to close this question as off-topic because asking for code does not constitute a proper question
Aug
18
comment Change periodicity on Rblpapi
My pleasure. We also get a lot of use out of it, and your report will make the documentation better. And please feel free to upvote or accept the answer.
Aug
18
comment Change periodicity on Rblpapi
Indeed. Nice catch.
Aug
18
comment Change periodicity on Rblpapi
I can replicate the error, must I have no idea what is wrong. Something in the returned information needs to be parsed differently. I have only had use for daily data so far...
Aug
15
comment Is R being replaced by Python at quant desks?
Three cheers and an up vote to bringing empirics into a decade full of conjectures.
May
20
comment Is R being replaced by Python at quant desks?
I got the impression that R might be obsolete in 3-4 years. I take the other side on that bet. I actually watch what packages get added every day and I don't see this as stagnating at all.
Jan
17
comment Any New Discoveries in Quantitative Finance?
In this sweeping question, it would help your credibility a little if your spelling was actually correct.
Nov
28
comment How can I export intraday frequency data from Bloomberg and (how) is this procedure different than for lower frequencies?
I tried to address in one paragraph in my original answer: "Now, the usage terms are well known: You are generally not allowed to take the data retrieved this way off the machine on which you have the license. I.e. no further distribution even within your office." So, yes, I expect this to count towards the same data cap / subscription terms you already have. Bloomberg gives the API away, the data remains very much their business so you need to pay and remain in compliance.
Nov
28
comment How can I export intraday frequency data from Bloomberg and (how) is this procedure different than for lower frequencies?
Yes, there is. You can also get 'bars' at any multiple of one minute - - there are also example libraries. I don't use Excel but the core API libraries provide the functionality accessed by the different language / API layers. Hope this helps, I can follow-up with an example from work.
Aug
13
comment Integrating R with Bloomberg
I am sure the authors will accept a patch to the documentation too.
May
15
comment Looking for C# library that provides/contains performance analytics
Are you looking for system() or eval()?
May
15
comment Looking for C# library that provides/contains performance analytics
Yes. I am not aware of generic Redis queue processor for R. Should just be a few commands to get started. The doRedis example can give you ideas -- just "LPOP" and then execute, or something similar.
May
15
comment Looking for C# library that provides/contains performance analytics
No, doRedis is particular to the foreach parallel framework. I would use rredis as I had suggested earlier.
May
14
comment Looking for C# library that provides/contains performance analytics
And as you asked: we also just released the RcppRedis package which should have Windows binaries in a few days, hopefully. But it has a much narrower scope.
May
14
comment Looking for C# library that provides/contains performance analytics
You probably should just read the documentation of the rredis package but the "tl;dr" version is that it is the main Redis package for R.
May
14
comment Looking for C# library that provides/contains performance analytics
Same here. I work in the industry too, and I can assure you that C# is not a growing trend over where I work (besides surviving for GUIs). But we all have our preferences, and if you like it, good for you. That case is closed, now let's see how you can best access something already provided in R.
May
13
comment Looking for C# library that provides/contains performance analytics
I can't stop giggling about your claim that everybody uses C# now. Everywhere I look C# has been abandoned for anything but GUIs, but beauty is as always in eye of the beholder.
May
13
comment Looking for C# library that provides/contains performance analytics
You are barking up the wrong tree. I don't use either C# or Windows, so I have not bone in this fight -- my money is on C++ with R on Linux. But as you asked, yes, thanks, between Linux and Windows Rserve works fine, modulo the lack of fork() in Windows meaning that there can be only one connection.