fBonds
S+FinMetrics has a number of tools for term structure modeling. The
term.struct() function implements a number of interpolation and spline
techniques, as well as Nelson-Siegel and Svensson models. In S+FinMetrics
2.0, the state space functionality has been upgraded to handle a general
class of affine term structure models. You can also easily use the state
space tools to implement a nelson-siegel or svensson model with time varying
coefficients (see, e.g., Diebold and Lee 2002 "Forecasting the Term
Structure of Government Bonds"). This allows for better out of sample
prediction. I currently have a Phd student working on these methods as well
as extensions. Anyone interested in some code examples please email me
directly.
ez
-----Original Message-----
From: r-sig-finance-bounces at stat.math.ethz.ch
[mailto:r-sig-finance-bounces at stat.math.ethz.ch] On Behalf Of Spencer Graves
Sent: Saturday, January 21, 2006 12:27 AM
To: Thomas Steiner
Cc: r-sig-finance at stat.math.ethz.ch
Subject: Re: [R-sig-finance] fBonds
RSiteSearch("fBonds") produced 'No document matching your query.'
I
similarly got nothing relevant searching for "swap rates" and
"Svensson". Googling for "fBonds" found a similar question to
[R-sig-finance] in Oct. 2004, with no recorded answre. The developer
and maintainer of the Rmetrics project is Diethelm Wuertz
<wuertz at itp.phys.ethz.ch>. I don't know if S-Plus FinMetrics has this
or not.
However, if you want to provide the math and some references with
an
incomplete attempt to program what you want in R, someone might help you
get past any given obstacle. (If you do this, you may want to know that
posts more consistent with the posting guide!
"www.R-project.org/posting-guide.html" may get quicker, more helpful
answers.)
I'm sorry I couldn't give you a more helpful answer, but I hope
you
will find this useful nevertheless.
Best Wishes,
spencer graves
Thomas Steiner wrote:
I'd like to calculate forward rates from swap rates and then fit these fwd-rates to a Svensson family and see how parameters envolve over time (consistency). I've read of the R-package fBonds, which could help me a lot. It is not availible at CRAN or www.metrics.org Does anybody know about its current state? Is it available to the public somewhere? Are there any other packages that could help me? Thanks for suggestions, help and hints Thomas
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