[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



More information about the R-SIG-Finance mailing list