[R-sig-finance] fBonds

Diethelm Wuertz wuertz at itp.phys.ethz.ch
Sun Jan 22 21:19:23 CET 2006

In the Rmetrics "Fact Sheet", accessiible on the Home page of the Rmetrics
Server www.rmetrics.org, you find that the fBonds package is not  yet 
The package is still uncomplete, untested, and  less documented.  Currently
are available the following chapters with R functions::

    Bond and Money Market Arithmetic
    Bootstrapping - Direct Calculation of the Yield Curve
    Yield Curve Estimation by Regression Analysis
    Parameterizing a Yield Curve by Forward Rates
    Building the Yield Curve from the BBA LIBOR
    Adding Swaps to the Yield Curve
    Term Structure Fitting: Nelson-Siegel and Svensson models
    Replicating Portfolios for Risk Management of Mortgages and Savings

Less is done with functions for the valuation of interest rate options. 
Only a
few models are implemented.

Since other components of the Rmetrics Packages have higher priorities 
it will
take some additional time to finish the R package fBonds. If somebody from
the R community is ready for cooperation and will contribute with 
functions for analysing and modelling Bond and Money Markets, or testing,
or writing documentation, please let me know.

Diethelm Wuertz

PS: Have also a look on SPlus/Finmetrics

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

More information about the R-sig-finance mailing list