constructing yieldcurve

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constructing yieldcurve

André de Boer
Hello,

With which package can I build a yield curve using swap data with the
bootstrapping method?

Thanks for the reaction,
André

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Re: constructing yieldcurve

Enrico Schumann

Hi André,

I think some tools for this are implemented in 'RQuantLib', but you may
want to browse the finance task view:

http://cran.r-project.org/web/views/Finance.html

for finding some other packages. There is also a mailing list dedicated
to finance:

https://stat.ethz.ch/mailman/listinfo/r-sig-finance

There you may get better answers to finance-related questions.



Regards,
Enrico


Am 07.01.2012 11:29, schrieb André de Boer:

> Hello,
>
> With which package can I build a yield curve using swap data with the
> bootstrapping method?
>
> Thanks for the reaction,
> André
>
> [[alternative HTML version deleted]]
>
>
>
>
> ______________________________________________
> [hidden email] mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.

--
Enrico Schumann
Lucerne, Switzerland
http://nmof.net/

______________________________________________
[hidden email] mailing list
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