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I know short rate models aren't very realistic, but I'm interested in using a short rate model for the purposes of prototyping. By short rate model I mean a Vasicek(sp?) or CIR model. I could find the...
I thought it was strange that the tsQuote argument used swap rates for longer tenors. These types of rates don't seem very easy to get, but maybe I'm misunderstanding something. I would have thought I could use the...
I tried to install an R package through the Package Installer in the R.app, but the program becomes unresponsive. I have been able to install packages through it before. I haven't tried installing packages another way because I...
I'd like to play with something like quantstrat, but it doesn't seem to support much fixed income securities, i.e. bonds, ABS/MBS, interest rate derivatives, swaps. In general I'd like a package to model fixed income...
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