My favorite software is Matlab, but partly because R is free, more and more people & companies choose to use R as a major working language. Nothing wrong with that, I am at the moment changing some of my Kalman Filter Matlab codes to R.

One bothering issue is each software has its own coding rules, for example, in Matlab we use a(1,1) but in R we use a[1,1]; in Matlab we have ones(3,2) but in R we dont have such a command but matrix(1,3,2), etc. (I am always wondering why they can't be designed in a similar way). It does bring me trouble sometimes, luckily I came across a web page similar as cheat-sheets, it lists those widely used commands in R and corresponding commands in Matlab, very convenient indeed.

Search before trial & error: http://mathesaurus.sourceforge.net/octave-r.html

PS:
Walking Randomly suggests another excellent PDF manual consisting of 47 pages, fantastic! http://www.math.umaine.edu/~hiebeler/comp/matlabR.pdf

Today is the first day of South African world cup. Disappointing French team, although JP Morgan's Quant group members use their model to predict England will win this world cup Championship, I still go for Netherlands. GO GO GO, Holland.

A funny graph showing the characteristic of each team, enjoy football everyone.

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I recently have done some empirical studies on zero-coupon bond modelling and pricing, and plan to create an interest rate R package in order to make it re-usable, as I find there are only two R package on it, one is http://cran.r-project.org/web/packages/termstrc/index.html, the other one is http://cran.r-project.org/web/packages/YieldCurve/index.html, both of them don't cover short interest rate model, unfortunately.

Below is a short plan, help me add it by leaving a comment, thanks.

There are many reasons to create an R package, such as codes protection, convenient usage, etc. However, creating an R package in Unix is not hard, it IS in Windows, as R is designed in a Unix environment which includes a set of compilers, programming utilities, and text-formatting routines while Windows lacks those. I used to build an R library in Unix and thought it was relatively as the same convenient as in Windows, but it turned out I had to spend several hours on it. Silly me.


Below are the selected steps to create an R package in Windows I summarize:  
1, you have to download Rtools at http://www.murdoch-sutherland.com/Rtools/.  

2, depending on your needs, you may download and install LaTex, Microsoft HTML Help Workshop and the Inno Setup installer, available at http://www.miktex.org, http://msdn.microsoft.com/en-us/library/ms669985.aspx, and http://www.jrsoftware.org/, respectively. For example, Microsoft HTML Help Workshop is for making HTML Help documents, LaTex is for a nicer outlook, especially when your documents have math equations.

3, double click Rtools.exe to install it and its accompanying tools: minGW, perl. Rtools automatically recognizes the paths of those relevant softwares and add them to the environment variables of your computer.