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

[Ilya Kipnis]

It sounds like what you're looking for is a way to do valuation for bonds
via simulation. Quantstrat is a strategy creation platform, not a pricing
platform. Apples and oranges in this case.

Regarding portfolio management, what is it you're trying to do? If you have
returns for an instrument, then PortfolioAnalytics will do everything you
can possibly want, provided you know how to use it (non-trivial).

Sounds like you're looking for simulation libraries (MCMC? Bootstrapping?)
for which there are probably quite a few to choose from.

I'd recommend looking in the direction of MCMC, Bayesian analysis,
bootstrapping libraries, and other simulation-type libraries. Once you have
the desired simulation data, you can probably more accurately do bond
pricing, at which point, you can get your data into price or return space,
which would allow you to create trading strategies (quantstrat) or do
portfolio management (PortfolioAnalytics).

Hope this helps.



On Sat, Sep 27, 2014 at 2:38 PM, Kevin Owens <kevin.j.owens at gmail.com>
wrote:

> 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
>
>
> _______________________________________________
> R-SIG-Finance at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions
> should go.
>

	[[alternative HTML version deleted]]