[R-SIG-Finance] alternative to Crystal Ball ?

Liviu Andronic landronimirc at gmail.com
Sun Oct 26 14:18:26 CET 2008


Dear R users,

I am looking for R packages that would best approximate Oracle's
Crystall Ball [1]. For those not familiar:
"Crystal Ball software is a leading spreadsheet-based software suite
for predictive modeling, forecasting, Monte Carlo simulation and
optimization. [..] Crystal Ball is used by customers from a broad
range of industries, such as aerospace, financial services,
manufacturing, oil and gas, pharmaceutical and utilities. Crystal Ball
is used in over 800 universities and schools worldwide for teaching
risk analysis concepts.

The diverse applications for Crystal Ball include financial risk
analysis, valuation, engineering, Six Sigma, portfolio allocation,
cost estimation, and project management. "

[1] http://www.oracle.com/crystalball/index.html

The other day, in the Risk Management class, we did Monte Carlo
simulations using Crystall Ball&Excel. The professor (a relatively
young MIT PhD) made a speech that felt a bit distressing, in short:
"Working in Finance, Excel, Excel and nothing but Excel."  I would
prefer to avoid this.

R's packages with Monte Carlo support are numerous, and I wouldn't
know where to start. Recently [2] as alternative to Crystall Ball
QRMlib [3] was suggested, but it is accompanied with a book, while
currently I would prefer online documentation. If any of the R GUI
packages support something similar, please also drop a note.

[2] http://www.nabble.com/Quantitative-risk-analysis-with-R-tp19184940p19184940.html
[3] http://cran.r-project.org/web/packages/QRMlib/index.html

Thank you,
Liviu

PS I'm cross-posting; please let me know if this is not a good idea



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