[R-SIG-Finance] RQuantLib - Discount Curve Object

Chien, Josh-CH Josh-CH.Chien at nanshan.com.tw
Wed Jan 14 04:46:08 CET 2015


Hi All,
In my case, I already have discount curve to price bond.
Don't build discount curve.
>From Tech Doc about RQuantlib, in pricing bond function, FixedRateBond(bond,coupon.rate,schedule,calc,discountCurve=curves)
I need a a object of DiscountCurve class, DiscountCurve, as input parameter.
DiscountCurve Object build from "DiscountCurve(params, tsQuotes, times)"
I don't have tsQuotes because I already have own discount curve.
How to get new Discountcurve object instead of old one for pricing bond function ?

Thanks a lot.


______________________________________
JOSH CHIEN
Risk Analytics & Projects
Enterprise Risk Management (ERM) Dept.
Nan Shan Life Insurance Co.
Email: Josh-CH.Chien at NANSHAN.com.tw<mailto:Matt-CM.Tsao at NANSHAN.com.tw>
DID: +886-2-8758-9522


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