FX Options and Historical Financial Databases

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FX Options and Historical Financial Databases

Wojciechowski, William
Hi,
 
Has anybody written R-code that calculates
FX option prices?
 
Also, I'm curious about what historical databases
that people are using with R.
 
Thanks,
 
Will

        [[alternative HTML version deleted]]

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Re: FX Options and Historical Financial Databases

Vivek Satsangi
1. Code: Not myself, no, but I trust you know of the existence of
RMetrics which gives you various support functions that would be
helpful, I imagine.

2. I use factset (which is basically a front end for compustat for my
purposes) and in one case, yahoo. I also use another vendor that I
cannot disclose because my professor is still evaluating them, but
basically they do some transforms of the compustat data with their
propreitary methodology. In each case, the data is in a CSV or Tab
delimited text file, and none of the idiosyncracies of the data do I
deal with in R (I use perl to do the transformations I want, basically
because I am very new to R.)

QUESTION: 3. Which prompts a question: Does anyone know how to call a
COM object from within R? Is it even possible? I know one can call R
as a COM object from VB, C++, what have you, but what about the
reverse? The data vendor supplies us with a COM object that negotiates
their gateway, checks permissions, etc. and it would be very
convenient and perhaps less error prone to call it from R rather than
downloading a CSV, uploading into R, doing a merge, etc.

Vivek

>
> Message: 3
> Date: Wed, 1 Feb 2006 17:03:08 -0600
> From: "Wojciechowski, William"
>         <[hidden email]>
> Subject: [R-sig-finance] FX Options and Historical Financial Databases
> To: [hidden email]
> Message-ID:
>         <[hidden email]>
> Content-Type: text/plain
>
> Hi,
>
> Has anybody written R-code that calculates
> FX option prices?
>
> Also, I'm curious about what historical databases
> that people are using with R.
>
> Thanks,
>
> Will
>


--
-- Vivek Satsangi
Student, Rochester, NY USA

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Re: FX Options and Historical Financial Databases

Robert Sams
In reply to this post by Wojciechowski, William
Hi Vivek,

Regarding #3, see Thomas Baier's package rcom (CRAN) and the RDCOM package at http://www.omegahat.org/.

Robert


> -----Original Message-----
> From: Vivek Satsangi [mailto:[hidden email]]
> Sent: Thursday, February 02, 2006 11:54 AM
> To: [hidden email]
> Subject: Re: [R-sig-finance] FX Options and Historical Financial
> Databases
>
>
> 1. Code: Not myself, no, but I trust you know of the existence of
> RMetrics which gives you various support functions that would be
> helpful, I imagine.
>
> 2. I use factset (which is basically a front end for compustat for my
> purposes) and in one case, yahoo. I also use another vendor that I
> cannot disclose because my professor is still evaluating them, but
> basically they do some transforms of the compustat data with their
> propreitary methodology. In each case, the data is in a CSV or Tab
> delimited text file, and none of the idiosyncracies of the data do I
> deal with in R (I use perl to do the transformations I want, basically
> because I am very new to R.)
>
> QUESTION: 3. Which prompts a question: Does anyone know how to call a
> COM object from within R? Is it even possible? I know one can call R
> as a COM object from VB, C++, what have you, but what about the
> reverse? The data vendor supplies us with a COM object that negotiates
> their gateway, checks permissions, etc. and it would be very
> convenient and perhaps less error prone to call it from R rather than
> downloading a CSV, uploading into R, doing a merge, etc.
>
> Vivek
> >
> > Message: 3
> > Date: Wed, 1 Feb 2006 17:03:08 -0600
> > From: "Wojciechowski, William"
> >         <[hidden email]>
> > Subject: [R-sig-finance] FX Options and Historical
> Financial Databases
> > To: [hidden email]
> > Message-ID:
> >        
> <[hidden email]>
> > Content-Type: text/plain
> >
> > Hi,
> >
> > Has anybody written R-code that calculates
> > FX option prices?
> >
> > Also, I'm curious about what historical databases
> > that people are using with R.
> >
> > Thanks,
> >
> > Will
> >
>
>
> --
> -- Vivek Satsangi
> Student, Rochester, NY USA
>
> _______________________________________________
> [hidden email] mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>

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Currency data on the web

Ajay Shah
In reply to this post by Wojciechowski, William
> Has anybody written R-code that calculates
> FX option prices?
>  
> Also, I'm curious about what historical databases
> that people are using with R.

That's an ambiguous question: Do you want to know about historical
_currency_ databases? If so, read on.

A while ago, I had asked questions here about data sources on the
currency market. I got enormous help from folks on this mailing
list. A summary of what I found is:

1. There are 3 good sources I know of: oanda.com, US federal reserve,
   and Bank of England. The first (oanda.com) is integrated into
   tseries::get.hist.quote(). The other two, you have to do
   yourself. Send me mail if you want shell scripts which do the
   snarfing.

2. The currency market trades 24 hours a day. It isn't like the stock
   market, where the official closing price on a main exchange is the
   well defined notion of "the price of the day". The US Fed and the
   Bank of England each report currency prices at a point in time in
   the day. oanda.com reports the volume weighted average (VWA) over a
   24 hour period (roughly the GMT day). So the measurement concepts
   used are rather different. That is particularly troublesome when
   mixing data from multiple sources. See some of my postings on this
   mailing list for how confounding it can get.

3. In terms of number of currencies covered, it's oanda.com > Bank of
   England > US Fed. oanda.com has any currency you can think of, and
   some you can't think of (e.g. gold). But the US Fed has long
   historical series for all the currencies that they do, while the
   Bank of England doesn't always have these.

In the event, after thinking about all this, my co-authors and I
plonked for US Fed data for a recent project
(http://www.mayin.org/ajayshah/papers/CNY_regime) which uses currency
data for a few major countries (US, UK, Japan, Euro, China).

--
Ajay Shah                                      http://www.mayin.org/ajayshah 
[hidden email]                             http://ajayshahblog.blogspot.com
<*(:-? - wizard who doesn't know the answer.

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