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

Khanh Nguyen knguyen at cs.umb.edu
Fri Jul 24 15:30:35 CEST 2009

Is it what you are talking about


This is also added to RQuantLib a few days ago.


On Fri, Jul 24, 2009 at 8:32 AM, spencerg<spencer.graves at prodsyse.com> 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)?
>     Thanks,
>     Spencer

More information about the R-SIG-Finance mailing list