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