Robert,

I think your first inclination to use R was right. Specifically, consider Diethelm Wuertz's R package called RMetrics, available through either http://cran.r-project.org/package=Rmetrics or http://www.rmetrics.org.

R has pedigree tracing back several decades at
Bell Labs, and though its million-plus users are concentrated within academia, it is gaining currency within several high-profile
quantitative analysis groups, including Barclays Global Investors. It's extensibility
via user-contributed packages has spawned an active developer community.