[R-SIG-Finance] Term structure

[Keith S Weintraub]

I will look through the Finance Task View (again) in the hope that I can get something that works for me.

I probably can make something that will give me the results that I want but I doubt I would be able to create a package that would be bullet-proof enough for others to use.

Can you tell me what you mean by this:

> This
> will get fixed "soon".  In the meantime, it does of course work if you
> actually have quantlib-config in your $PATH ...


Have you tried this on OS X? Mavericks? What $PATH are you talking about? In R? Do I have to build RQuantLib?

If it is as simple as fixing a PATH and installing RQuantLib I'm sure I can do that. What still remains is the fact that the curve "stuff" isn't quite right (for me) but at least I would be able to use all the other facilities of RQuantLib.

Question: You said you haven't used the "fixed-income parts". Don't you need good (reasonable) discount factors for equities and commodities?


--

On Mar 8, 2014, at 10:19 AM, Dirk Eddelbuettel <edd at debian.org> wrote:

> 
> 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