[R] Time Series Objects/ MC Simulation
sabolk at hotmail.com
Wed Apr 5 15:56:49 CEST 2006
I am attempting to value convertible bonds through a Monte Carlo approach.
I want to express call schedules as date-price tuples. Naturally, these
tuples need to be expanded to match the frequency of the innovations in the
1. Is there a straigh-forward way to accomplish this "expansion"?
2. I have noted the existance of ts, its, zoo and fCalendar. Does anyone
have an opion on the relative merits of these, particularly with respect to
speed in a simulation framework?
Your assistance and insights are appreciated.
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