[R-sig-finance] Rmetrics Newbie
edd at debian.org
Fri Jul 29 04:46:04 CEST 2005
On 28 July 2005 at 19:17, Spencer Graves wrote:
| There may not be a function specifically designed to do exactly what
| you want. However, R is a very flexible and powerful programming
I think that is the case. However, Diethelm's Rmetrics project lists a module
'fBonds' as forthcoming so the situation may be improving in a little while.
| environment that should make it quite easy for you to write your own
| function to do what you want. It is rapidly becoming the platform of
| choice for new statistical algorithm development internationally. It
| has a moderately steep learning curve. However, after you have a basic
| facility with the language -- and some skill in how to find things using
| "RSiteSearch", etc., you will have FREE access to some of the latest and
| greatest code for almost any statistical application.
| spencer graves
| Nico wrote:
| > I'm very interested on Rmetrics for my university home-work: what I have to do is related to
| > time series analysis of interest rates.
| > With Rmetrics, can I compute the spot curve / forward rates starting from quoted instruments
| > (depos, futeres and swaps)? I don't find any references on this topics, so I hope in your
| > help...
fBonds should address. At the moment, I am not aware of any public code that
Statistics: The (futile) attempt to offer certainty about uncertainty.
-- Roger Koenker, 'Dictionary of Received Ideas of Statistics'
More information about the R-sig-finance