spencer.graves at pdf.com
Sat Jan 21 09:26:32 CET 2006
RSiteSearch("fBonds") produced 'No document matching your query.' I
similarly got nothing relevant searching for "swap rates" and
"Svensson". Googling for "fBonds" found a similar question to
[R-sig-finance] in Oct. 2004, with no recorded answre. The developer
and maintainer of the Rmetrics project is Diethelm Wuertz
<wuertz at itp.phys.ethz.ch>. I don't know if S-Plus FinMetrics has this
However, if you want to provide the math and some references with an
incomplete attempt to program what you want in R, someone might help you
get past any given obstacle. (If you do this, you may want to know that
posts more consistent with the posting guide!
"www.R-project.org/posting-guide.html" may get quicker, more helpful
I'm sorry I couldn't give you a more helpful answer, but I hope you
will find this useful nevertheless.
Thomas Steiner wrote:
> I'd like to calculate forward rates from swap rates and then fit these
> fwd-rates to a Svensson family and see how parameters envolve over
> time (consistency).
> I've read of the R-package fBonds, which could help me a lot. It is
> not availible at CRAN or www.metrics.org Does anybody know about its
> current state? Is it available to the public somewhere? Are there any
> other packages that could help me?
> Thanks for suggestions, help and hints
> R-sig-finance at stat.math.ethz.ch mailing list
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