RQuantLib - Discount Curve Object
On 14 January 2015 at 11:46, Chien, Josh-CH wrote:
| 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 ? You may have to resort to doing work in C++ (or use one of the other interfaces to QL) as RQuantLib makes no claim to be full and complete. Dirk
http://dirk.eddelbuettel.com | @eddelbuettel | edd at debian.org