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	<title>The Research Kitchen Weblog &#187; Finance</title>
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	<link>http://www.theresearchkitchen.com/blog</link>
	<description>Rory Winston</description>
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		<title>R/Reuters Real-Time Data Extension</title>
		<link>http://www.theresearchkitchen.com/blog/archives/342</link>
		<comments>http://www.theresearchkitchen.com/blog/archives/342#comments</comments>
		<pubDate>Thu, 11 Dec 2008 17:31:11 +0000</pubDate>
		<dc:creator>Administrator</dc:creator>
				<category><![CDATA[Coding]]></category>
		<category><![CDATA[Finance]]></category>
		<category><![CDATA[R]]></category>

		<guid isPermaLink="false">http://www.theresearchkitchen.com/blog/?p=342</guid>
		<description><![CDATA[Last week, I posted an R extension DLL that downloads historical data from Reuters using the SFC API. This time around, I am posting an extension DLL that can subscribe to real-time updates using the RFA API. This extension allows you to specify a list of items and data fields, and subscribe for a specified [...]]]></description>
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		<title>R/Reuters Time Series Data Extension</title>
		<link>http://www.theresearchkitchen.com/blog/archives/287</link>
		<comments>http://www.theresearchkitchen.com/blog/archives/287#comments</comments>
		<pubDate>Fri, 05 Dec 2008 23:18:31 +0000</pubDate>
		<dc:creator>Administrator</dc:creator>
				<category><![CDATA[Coding]]></category>
		<category><![CDATA[Finance]]></category>
		<category><![CDATA[R]]></category>

		<guid isPermaLink="false">http://www.theresearchkitchen.com/blog/?p=287</guid>
		<description><![CDATA[This is an upload of the historical data retrieval component of the R/Reuters interface that I presented at the R user conference in August 2008 (see the presentation here). The extension is a C++ DLL that uses the Reuters SFC API to retrieve limited time series data from the TS1 time series service. It is [...]]]></description>
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		<title>Presentation at UseR! 2008</title>
		<link>http://www.theresearchkitchen.com/blog/archives/189</link>
		<comments>http://www.theresearchkitchen.com/blog/archives/189#comments</comments>
		<pubDate>Tue, 12 Aug 2008 08:31:06 +0000</pubDate>
		<dc:creator>Administrator</dc:creator>
				<category><![CDATA[Finance]]></category>
		<category><![CDATA[R]]></category>

		<guid isPermaLink="false">http://www.theresearchkitchen.com/blog/?p=189</guid>
		<description><![CDATA[Today is the second day of UseR! 2008 in Germany, and I will be giving a short talk on a market data interface I developed for R a while back. The confererence is apparently the largest R user conference yet, with over 400 participants, from all areas of industry and academia. Here are the slides: [...]]]></description>
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		<title>Black-Scholes in R</title>
		<link>http://www.theresearchkitchen.com/blog/archives/106</link>
		<comments>http://www.theresearchkitchen.com/blog/archives/106#comments</comments>
		<pubDate>Mon, 28 Apr 2008 09:34:24 +0000</pubDate>
		<dc:creator>Administrator</dc:creator>
				<category><![CDATA[Coding]]></category>
		<category><![CDATA[Finance]]></category>
		<category><![CDATA[R]]></category>

		<guid isPermaLink="false">http://www.theresearchkitchen.com/blog/?p=106</guid>
		<description><![CDATA[Here is a simple implementation of the Black-Scholes pricing formula in R. This will return a two-element vector containing the calculated call and put price, respectively. # Black-Scholes Option Value # Call value is returned in values[1], put in values[2] blackscholes &#60;- function(S, X, rf, T, sigma) { values &#60;- c(2) d1 &#60;- (log(S/X)+(rf+sigma^2/2)*T)/sigma*sqrt(T) d2 [...]]]></description>
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		<title>Black-Scholes in Excel, Part II</title>
		<link>http://www.theresearchkitchen.com/blog/archives/86</link>
		<comments>http://www.theresearchkitchen.com/blog/archives/86#comments</comments>
		<pubDate>Fri, 22 Dec 2006 11:37:08 +0000</pubDate>
		<dc:creator>Administrator</dc:creator>
				<category><![CDATA[Coding]]></category>
		<category><![CDATA[Finance]]></category>

		<guid isPermaLink="false">http://www.researchkitchen.co.uk/blog/archives/86</guid>
		<description><![CDATA[Following on from the post a few weeks ago on a simple Black-Scholes Excel macro, here is a follow up, with a slightly updated version that also calculates the major greeks (vega, gamma and delta). The formulae are from Hull&#8217;s book, or see here for examples of the closed-form greeks. Usage of the spreadsheet is [...]]]></description>
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		<title>The CME Globex Electronic Futures Trading System</title>
		<link>http://www.theresearchkitchen.com/blog/archives/84</link>
		<comments>http://www.theresearchkitchen.com/blog/archives/84#comments</comments>
		<pubDate>Sat, 16 Dec 2006 14:17:32 +0000</pubDate>
		<dc:creator>Administrator</dc:creator>
				<category><![CDATA[Finance]]></category>

		<guid isPermaLink="false">http://www.researchkitchen.co.uk/blog/archives/84</guid>
		<description><![CDATA[The story of the Reuters Globex futures trading system developed for the Chicago Mercantile Exchange is a classic ETS (Electronic Trading System) case study. Originally devised in 1987 and launched in 1992, the product was plagued with technical difficulties and defects, and the general reluctance of the traditionally pit-based futures trading community to accept its [...]]]></description>
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		<item>
		<title>Excel Black-Scholes Function</title>
		<link>http://www.theresearchkitchen.com/blog/archives/77</link>
		<comments>http://www.theresearchkitchen.com/blog/archives/77#comments</comments>
		<pubDate>Thu, 23 Nov 2006 12:22:50 +0000</pubDate>
		<dc:creator>Administrator</dc:creator>
				<category><![CDATA[Coding]]></category>
		<category><![CDATA[Finance]]></category>

		<guid isPermaLink="false">http://www.researchkitchen.co.uk/blog/archives/77</guid>
		<description><![CDATA[[UPDATE: After reading this post, see here for an updated version of the spreadsheet]. The Black-Scholes option valuation formula for an option paying a continuous dividend yield is the following: Where and Attached is a simple Excel function that calculates the Black-Scholes option value for a specific set of input parameters. Currently, it just calculates [...]]]></description>
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