[R-SIG-Finance] Rquantlib discount curve

[Dirk Eddelbuettel]

On 25 January 2009 at 01:23, glenn wrote:
| Been looking into the Rquantlib package and have a newbie question sorry.
| 
| Is it possible to get some flexibility over the inputs in the tsQuotes
| argument. The example gives;
| 
| tsQuotes <- list(d1w  =0.0382,
|                  d1m  =0.0372,
|                  fut1=96.2875,
|                  fut2=96.7875,
|                  fut3=96.9875,
|                  fut4=96.6875,
|                  fut5=96.4875,
|                  fut6=96.3875,
|                  fut7=96.2875,
|                  fut8=96.0875,
|                  s3y  =0.0398,
|                  s5y  =0.0443,
|                  s10y =0.05165,
|                  s15y =0.055175)
| 
| And ideally I would like to put more information in (or at least other) -
| s7y for instance. Tried looking round the files to see how the function is
| constructed with no luck.

Well, for QuantLib your best bet is probably the QuantLib documentation at
http://quantlib.org.   But that won't help you with R itself -- the object
tsQuotes is actually an R list, and it just enumerates it's component.  So
you could just add a line
    s7y = 0.04888,
if you wanted to add that before construction a curve.

Dirk

-- 
Three out of two people have difficulties with fractions.