[R-sig-finance] fBonds

Spencer Graves 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 
or not.

	  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.

	  Best Wishes,
	  spencer graves	

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
> Thomas
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