[R-sig-finance] Rmetrics Newbie

[Ajay Narottam Shah]

> | > 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.

I have code which will estimate a zero-coupon yield curve of a given
functional form, by maximum-likelihood. It isn't the best of code, and
hence I have refrained from release. But if someone would like, I am
happy to share the code, and perhaps with some improvements it can be
ready for release.

-- 
Ajay Shah                                                   Consultant
ajayshah at mayin.org                      Department of Economic Affairs
http://www.mayin.org/ajayshah           Ministry of Finance, New Delhi