[R-sig-finance] Rmetrics Newbie

Dirk Eddelbuettel 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
does that.

Regards, Dirk

Statistics: The (futile) attempt to offer certainty about uncertainty.
         -- Roger Koenker, 'Dictionary of Received Ideas of Statistics'

More information about the R-sig-finance mailing list