[R-SIG-Finance] For pricing Bond Library ?
atp at piskorski.com
Fri Jul 24 18:40:54 CEST 2009
On Thu, Jul 23, 2009 at 08:57:34PM -0700, Josh C. Chien wrote:
> Hi R-Finance users,
> Does anyone know what library is for pricing bond or fixed income products ?
> Thanks a lot.
I'm not sure exactly what you're looking for, but you could try the
TIPS Inc. "Standard Securities Calculations Software Library":
Back in 2000, I used the C version (on Solaris, libTIPSCL.so) for
various standard bond calculations. I don't know what the software
costs, but it worked fine, and the TIPS folks were helpful and easy to
work with, on the rare occasions when just reading their docs wasn't
Andrew Piskorski <atp at piskorski.com>
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