[R-SIG-Finance] Term structure

[Keith S Weintraub]

Folks,

I won't bother you all again but I don't think the RQuantLib package will fit my needs.

I don't think it goes out past 30yrs and it doesn't have a flexible enough set of inputs. For example I can get a 7yr rate from my "provider" but there is no place in DiscountCurve to use it.

Also there are some comments about buggy code that make me less than confident.

Note that I am not putting down the package or the author, I understand that these are "free" contributions and that the package(s) may suit some applications better than others.

If any of you have any other suggestions I would greatly appreciate them.

Thanks again for your time,
KW

PS I may, at my own peril, repost this to one of the other R lists just to see if a broader audience can help.

--

On Mar 7, 2014, at 3:38 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
> 
> --
>