[R-SIG-Finance] For pricing Bond Library ?
spencer.graves at prodsyse.com
Fri Jul 24 15:52:06 CEST 2009
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.
Khanh Nguyen wrote:
> 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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