[R-SIG-Finance] [ANN] dataonderivatives: Easily Source Publicly Available Data on Derivatives
i.costigan at me.com
Thu Sep 10 12:01:24 CEST 2015
I’m excited to announce the first release of the “dataonderivatives" package on CRAN.
Post-GFC derivatives reforms have lifted the veil off over-the-counter (OTC) derivative markets. Swap Execution Facilities (SEFs) and Swap Data Repositories (SDRs) now publish data on swaps that are traded on or reported to those facilities (respectively). This package provides you the ability to get this data from supported sources.
The package’s README file describes the package in more detail and illustrates its interface to the Bloomberg SEF and DTCC’s SDR sources:
Source code is available at the GitHub repo and pull requests are welcome:
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