Term structure
This functionality is in RQuantLib. -- Joshua Ulrich | about.me/joshuaulrich FOSS Trading | www.fosstrading.com
On Fri, Mar 7, 2014 at 2:38 PM, Keith S Weintraub <kw1958 at gmail.com> wrote:
Folks, I am having a difficult time finding a package that provides functionality whereby I can input a list of Swap rates and maturities (1m, 3m, 6m, ..., 1yr, 2yr, ..., 30yr...) and get back a data-structure of some kind that will allow me to compute discount factors and/or forwards. I have looked at termstrc and a few others that seem a bit abstruse or less than useful for my purposes. Code examples welcome (but not necessary). Thanks for your time, KW --
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