[Google Summer of Code 2009] Hi from a student

[Khanh Nguyen]

Dear All,

I am writing to introduce myself. I am Khanh Nguyen, one of the accepted student for this summer Google Summer of Code. My mentor is Dirk Eddelbuettel. Our project this summer is to extent the current RQuantLib package. We aim to cross quantlib's fixed income portion to R by adding corresponding wrapper functions. An abstract of my proposal is here http://www.r-project.org/soc09/index.html. I also attached my full version if you are interested about the project.

We're finalizing the scope of the project, i.e decide explicitly the set of functionalities to implement. We'd love to hear any suggestions from users. If you use both R and quantlib, what are things in quantlib you'd like to see available in R? A few examples of RQuantlib is here http://dirk.eddelbuettel.com/code/rquantlib.html

Thank you very much for your time. I'm very excited about this coming summer. I look forward to work and learn from you.

Sincerely,

Khanh Nguyen

Title:   RQuantLib - Bridging R and QuantLib
Student: Khanh Nguyen
Abstract: Since statistical computing plays a major role in all financial modeling and risk-management tasks, it is highly desirable to combine the features and power of R and QuantLib. This project aims to provide a major extension to the existing RQuantLib package, includes expanding instruments coverage and integrating R's graphical engine for better visualization of modeling.
Content:

R Foundation for Statistical Computing

Application for the Google Summer of Code 2009 project

Applicant: Khanh Nguyen
Email: nguyen.h.khanh@...
Phone: [phone]
Project Name: RQuantLib - Bridging R and QuantLib

Synopsis
Since QuantLib is a complex and large library that spans over many aspects of finance, I will focus mostly on areas that I have knowledge of. In particular, my priority is:

   1. to provide a substantial coverage for fixed income instruments and possibly credit or swap if time permitted.
   2. investigate an effective way to take advantage of R's graphical capability in visualizing modeling results.

Benefits for community and myself

   1. increase the functionalities and scope of RQuantLib
   2. provides an easy pathway for users of R who are interested in financial modeling but lack the skills to make use of QuantLib.
   3. by adding visualization, users will have a better, more comprehensive grasp of their model.
   4. I'll have an opportunity to solidify what I know, acquire new knowledge and skills in both quantitative finance and coding financial algorithms. I consider this a fantastic opportunity to prepare myself for a career in finance.

Project Description

The project will be built on the current RQuantLib. The structure is well defined by R package building standard. I've successfully tried to add a new function into RQuantLib to calculate a value of an Asian option using geometric averaging. It is currently in revision 58 in the repository.


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[Luigi Ballabio]

On Fri, 2009-04-24 at 12:58 -0400, Khanh Nguyen wrote:
> I am writing to introduce myself. I am Khanh Nguyen, one of the
> accepted student for this summer Google Summer of Code. My mentor is
> Dirk Eddelbuettel. Our project this summer is to extent the current
> RQuantLib package. We aim to cross quantlib's fixed income portion to
> R by adding corresponding wrapper functions.

Hi Khanh,
        apologies for the delay.  It's good to see that you're aboard--I'm not
using RQuantLib myself, but I'm happy that it was deemed eligible for
GSoC.

Later,
        Luigi


--

Dealing with failure is easy: work hard to improve. Success is also
easy to handle: you've solved the wrong problem. Work hard to improve.
-- Alan Perlis



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