R

Posted by Ferdinando M. Ametrano-3 on May 26, 2004; 12:09pm
URL: http://quantlib.414.s1.nabble.com/ruby-wrapper-issues-tp10588p10591.html

Hi Dirk,

>[ OT: I was at useR! 2004 last week, where I had helped to put some Finance
>content together. Lots of visibility of QL, and in particular the fellow who
>did www.rmetrics.org (which we will make Unix/Linux compatible, currently
>Windoze only) is quite interested and aware of QL.  Not sure how reciprocal
>that can get from the QL community as R is presumably seen as a bit of
>fringe language. For empirically minded souls, the R system is heavenly...
>But I digress :) ]

a quite interesting digression.

Next week I will take charge of a new project for my employer. The project
is aimed to developing an implementation of the Black-Litterman asset
allocation model (and more). I will work with Hannu Kahra, an associate
professor from Finland: he should lead the modeling and he plans to use R.
[I'm CC'ing him, but he will access his mailbox next Tuesday]

While I'm not sure if my employer will allow us to do the project as
free-software/open-source, I'm quite sure there will be some positive fall out.

What is worrying me these days is that both Rmetrics and RQuantLib are GPL:
one of the project's goal is to be able to re-distribute our work so this
might rule out the usage of these GNU packages unless my company accept a
GPL approach.

It would be too good to leverage QuantLib/RQuantLib/Rmetrics for this
project and contribute to them. Throw in the chance RiskMap/StatPro would
join the effort open-sourcing its asset allocation code base...

Too good to be true.

ciao -- Nando