[R-SIG-Finance] For pricing Bond Library ?

[spencerg]

Hi, Dirk: 


      Will Quantlib now support the Nelson / Siegel / Svensson and 
spline models for the term structure of interest rates, as does the 
"termstrc" package (and as documented in the companion paper, Ferstl and 
Hayden 2008 "Zero Coupon Yield Curve Estimation with the Package 
termstrc" http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1307149)? 


      Thanks,
      Spencer


Dirk Eddelbuettel wrote:
> On 24 July 2009 at 13:02, Khanh Nguyen wrote:
> | Hi Josh,
> | 
> | You can check out RQuantLib, for some simple bond pricing. Currently,
> | we have Zero, Fixed Rate, Floating, CallableBond, Convertible
> | (Floating, Zero, Fixed Rate).
>
> And because RQuantLib is changing pretty rapidly right now during Khanh's
> Google Summer of Code work on it, we have no made a new release in a while.
> So to take advantage of the new code, you currently need to go to the R-Forge
> page at https://r-forge.r-project.org/R/?group_id=117 to get packages or
> tarballs.  Thanks to work by Stefan this should now include a working windows
> binary.
>
> Dirk
>
>