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

Brian G. Peterson brian at braverock.com
Fri Jul 24 14:46:48 CEST 2009

spencerg wrote:
> 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)?
The quantlib library which RQuantlib wraps includes log-linear 
interpolation for term structure.  I think that the "termstrc" package 
will remain an important part of the toolkit for anyone working in with 
fixed income instruments.  I've also used the "CreditMetrics" package as 
part of developing default scenarios for corporate credit.


   - Brian

Brian G. Peterson
Ph: 773-459-4973
IM: bgpbraverock

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