[R-SIG-Finance] what is the best fixed income platform?

Kevin Owens kevin.j.owens at gmail.com
Sat Sep 27 20:38:44 CEST 2014


I'd like to play with something like quantstrat, but it doesn't seem to 
support much fixed income securities, i.e. bonds, ABS/MBS, interest rate 
derivatives, swaps.

In general I'd like a package to model fixed income securities over 
time. maRketSim seems closest to what I'm looking for
http://cran.r-project.org/web/packages/maRketSim/index.html

but it doesn't look very sophisticated and it doesn't look like it's 
being actively developed. RQuantlib seems more sophisticated, but 
doesn't have much support for managing with portfolios, and I can't 
figure out what Quantlib is really doing under the hood.

I'd like a package that could take a portfolio of securities and 
interest rate paths over time, and calculate market values and cash flows.

If anyone has any advice about what packages might be best for this kind 
of thing I'd appreciate it.

Thank you,

Kevin



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