[R-SIG-Finance] Term structure

[Dirk Eddelbuettel]

On 8 March 2014 at 10:06, Keith S Weintraub wrote:
| 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.

It's open source, so if you have improvements to the discount curve code,
I'll gladly look at the RQuantLib part and the rest of the QuantLib team will
surely look at fixes to curve construction.

| 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.

I personally have not used the fixed income parts much (apart from
supervising a Google Summer of Code student on this part), and that may show.
But contributions are always welcome.  If you have an itch to scratch ...  Or
else if you have professional needs, maybe some resources can be devoted to
this
 
| If any of you have any other suggestions I would greatly appreciate them.

There is a Task View for Finance

      http://cran.r-project.org/web/views/Finance.html

Contributions and updates to that are also always welcome.

Dirk

PS And I am aware that RQuantLib currently bombs on OS X. I made the
assumption that people compiled locally there too when they do in fact get
RQuantLib as a prebuilt appliance so I cannot assume quantlib-config. This
will get fixed "soon".  In the meantime, it does of course work if you
actually have quantlib-config in your $PATH ...

-- 
Dirk Eddelbuettel | edd at debian.org | http://dirk.eddelbuettel.com