[R-SIG-Finance] For pricing Bond Library ?
spencer.graves at prodsyse.com
Fri Jul 24 14:32:22 CEST 2009
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
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
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