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:Camilo Díaz [aut, cre, com], Andrés Galeano [aut], Julián Rojas [aut], Quantil S.A.S [aut, cph]

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)
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This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

16 exports 0.23 score 7 dependencies 3 scripts 829 downloads

Last updated 4 months agofrom:5a4e9f623e. Checks:OK: 2. Indexed: yes.

Exports:accrued.interestsaverage.lifebasis.curvebond.price2ratecoupon.datescouponscurve.calculationcurve.calibrationdiscount.factorsdiscount.timefwd2spotprice.dirty2cleansens.bondsspot2forwardvaluation.bondsvaluation.swaps

Dependencies:cpp11genericslubridatequantdatesRsolnptimechangetruncnorm