R(esearch) projects

Thank you for considering taking on one (or more) of these R- and Excel-based Research projects.  Since all of these projects relay on Bloomberg data, you must eventually make your way to the Bloomberg lab to complete them.  The good news is, once complete, you can put “Financial Modeling in R and Excel” on your resume.

  1. Implement the Black-Scholes option pricing model (BSOPM) in R.  You could use the derivmkts package or code the calculations yourself.  I’d recommend both.  The calculation is straightforward and I don’t know much about the stability and compatibility of the derivmkts package.  Retrieve all data from Bloomberg via R API: rblpapi.  You will need historical stock prices (say five years of monthly data) to compute volatility (standard deviation), the current stock price (S_0), current call option price (c), strike price (K), 3 month T-Bill rate (R_f), and time to expiration (T).
  2. Create R-based model for the two-stage dividend discount model.  Begin by copying and modifying the FUTURE-GB model in Excel: XLSX.  From there, convert that FUTURE-DDM Excel model to R code.  Again, retrieve all data from Bloomberg via R API: rblpapi.
  3. Create R model for the FUTURE-GB model: XLSX.  Retrieve all data from Bloomberg via R API: rblpapi.
  4. Create R Model for the FUTURE-RIM model: XLSX  Retrieve all data from Bloomberg via R API: rblpapi.
  5. Create R model for the FUTURE-MGF model: XLSX.  Retrieve all data from Bloomberg via R API: rblpapi.
  6. Bloomberg-ize the AMD vs. INTC Managerial Accounting (XLSX) and Financial Statement Ratios (XLSX) Excel sheets.  Step 1: update the sheets to use Bloomberg’s BDH() functions so a user can specify ticker symbols and time frames and have the tables automatically complete.  Step 2: Convert the newly created Excel sheets to R programs.
  7. Make all of the FUTURE-x sheets (XLSX) robust to negative book values (GB), residual income (RIM), and free cash flow (FCF) by following the procedure specified on page 67-68 of Student Investment Fund in a Book 6e.  Once you have a working Excel sheet, convert this to an R program.  For the R-program, you can borrow some of the technique used in the Sortino ratio calculation R code on page 237 of Investments 3e.