[R-SIG-Finance] Some bond basics... please help

Frederick Novomestky frednovo at pipeline.com
Sat Oct 21 19:23:25 CEST 2006

To all:

This semester I am teaching a course on Term Structure modeling and 
advanced interest rate derivatives.  To support the empirical work, I am 
developing a package fTermStructure that am building as we go along.  It's 
not fully ready for submission to R, but can do so.


Fred Novomestky
Industry Professor
Department of Financial Engineering
Polytechnic University
6 Metrotech Center
Brooklyn, NY 11201 USA
Vox: 1.718.260.3436
Fax: 1.718.260.3874
University email: fnovomes at poly.edu

The package includes the valuation of pure discount and fixed rate coupon 
paying bonds, bootstrap construction of spot curves, yield to maturity 
calculation, forward rate curve construction from spot rates and, by this 
week, Nelson Siegel function estimation.

At 07:03 PM 10/20/2006, Brian G. Peterson wrote:
>On Friday 20 October 2006 16:38, Spencer Graves wrote:
> > If you'd like further help
> > from this listserve, please provide commented, minimal, self-contained,
> > reproducible code describing something you've tried and why it did not
> > meet your needs (as suggested in the posting guide
>I believe that the original poster solved his problem via simple
>interpolation in one case and spline fitting in a more complicated case.
>I believe that he was really looking for a pointer on how one might fit a
>yield curve, which several people provided, and as I understand it, he
>solved his problem already.
>Nevertheless, there are no widely available functions that I am aware of
>that have been published in R specifically for calculating a yield curve
>on a group of bonds.  The eagerly awaited fBonds package has not yet been
>released.  So, the interested analyst must resort to generic fitting
>methods already available in R, as several of us indicated to the OP.
>   - Brian
>R-SIG-Finance at stat.math.ethz.ch mailing list

Frederick Novomestky, Ph.D.
Novomestky Associates
41 Eastover Drive
East Northport, NY 11731-4330
Vox: 1.631.368.0701
Fax: 1.631.368.1696

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