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

[spencerg]

Hi, Khan: 


      Just skimming, it looks good.  It looks like it includes the 
Nelson / Siegel model, plus cubic splines and some others but not the 
Svensson model.  I'd have to try it to know for sure, and I don't have 
time to do that right now.  However, it looks like I need to make time. 


      Thanks again.
      Spencer


Khanh Nguyen wrote:
> Is it what you are talking about
>
> https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib/Examples/FittedBondCurve/FittedBondCurve.cpp
>
> This is also added to RQuantLib a few days ago.
>
> -k
>
>
> 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
>>
>>     
>
>