[R-SIG-Finance] Term structure

[Joshua Ulrich]

This functionality is in RQuantLib.
--
Joshua Ulrich  |  about.me/joshuaulrich
FOSS Trading  |  www.fosstrading.com


On Fri, Mar 7, 2014 at 2:38 PM, Keith S Weintraub <kw1958 at gmail.com> wrote:
> Folks,
>
> I am having a difficult time finding a package that provides functionality whereby I can input a list of Swap rates and maturities  (1m, 3m, 6m, ..., 1yr, 2yr, ..., 30yr...) and get back a data-structure of some kind that will allow me to compute discount factors and/or forwards.
>
> I have looked at termstrc and a few others that seem a bit abstruse or less than useful for my purposes.
>
> Code examples welcome (but not necessary).
>
> Thanks for your time,
> KW
>
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