[R-SIG-Finance] RQuantlib tsquote meaning of rates
Kevin Owens
kevin.j.owens at gmail.com
Mon Mar 24 17:54:15 CET 2014
I thought it was strange that the tsQuote argument used swap rates for
longer tenors. These types of rates don't seem very easy to get, but
maybe I'm misunderstanding something. I would have thought I could use
the semi-annual bond equivalent rates, say, from the Treasury website.
My questions are
1. How can I figure out how the swap rates are being used in Quantlib?
2. Is there any way to input bond equivalent rates into tsQuote, or as a
DiscountCurve class?
3. Would I need to convert par rates to swap rates? If so, how?
Thank you,
Kevin
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