Package: QuantBondCurves 0.3.0
Camilo Díaz
QuantBondCurves: Calculates Bond Values and Interest Rate Curves for Finance
Values different types of assets and calibrates discount curves for quantitative financial analysis. It covers fixed coupon assets, floating note assets, interest and cross currency swaps with different payment frequencies. Enables the calibration of spot, instantaneous forward and basis curves, making it a powerful tool for accurate and flexible bond valuation and curve generation. The valuation and calibration techniques presented here are consistent with industry standards and incorporates author's own calculations. Tuckman, B., Serrat, A. (2022, ISBN: 978-1-119-83555-4).
Authors:
QuantBondCurves_0.3.0.tar.gz
QuantBondCurves_0.3.0.tar.gz(r-4.5-noble)QuantBondCurves_0.3.0.tar.gz(r-4.4-noble)
QuantBondCurves_0.3.0.tgz(r-4.4-emscripten)QuantBondCurves_0.3.0.tgz(r-4.3-emscripten)
QuantBondCurves.pdf |QuantBondCurves.html✨
QuantBondCurves/json (API)
NEWS
| # Install 'QuantBondCurves' in R: |
| install.packages('QuantBondCurves', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org')) |
This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.
Last updated 6 months agofrom:5a4e9f623e. Checks:OK: 2. Indexed: yes.
| Target | Result | Date |
|---|---|---|
| Doc / Vignettes | OK | Nov 13 2024 |
| R-4.5-linux | OK | Nov 13 2024 |
Exports:accrued.interestsaverage.lifebasis.curvebond.price2ratecoupon.datescouponscurve.calculationcurve.calibrationdiscount.factorsdiscount.timefwd2spotprice.dirty2cleansens.bondsspot2forwardvaluation.bondsvaluation.swaps
Dependencies:cpp11genericslubridatequantdatesRsolnptimechangetruncnorm
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Accrued interest | accrued.interests |
| Weighted Average Life | average.life |
| Basis Curve | basis.curve |
| From a price to a rate | bond.price2rate |
| Coupon date payments | coupon.dates |
| Coupon payment calculation | coupons |
| Curve calculation | curve.calculation |
| Curve calibration | curve.calibration |
| Discount factors | discount.factors |
| Quantil's discount time convention | discount.time |
| Forward curve conversion | fwd2spot |
| From one price to another | price.dirty2clean |
| Bond Sensitivity | sens.bonds |
| Spot curve conversion | spot2forward |
| Bond valuation | valuation.bonds |
| Swap valuation | valuation.swaps |