QuantBondCurves: Calculates Bond Values and Interest Rate Curves for Finance
Values different types of assets and calibrates discount curves
for quantitative financial analysis. It covers fixed coupon assets,
floating note assets, interest and cross currency swaps with different
payment frequencies. Enables the calibration of spot, instantaneous forward
and basis curves, making it a powerful tool for accurate and flexible bond
valuation and curve generation. The valuation and calibration techniques
presented here are consistent with industry standards and incorporates
author's own calculations. Tuckman, B., Serrat, A. (2022, ISBN: 978-1-119-83555-4).
| Version: |
0.2.0 |
| Depends: |
R (≥ 3.5.0) |
| Imports: |
lubridate, quantdates, Rsolnp |
| Suggests: |
testthat (≥ 3.0.0), knitr, rmarkdown, ggplot2 |
| Published: |
2024-01-20 |
| Author: |
Camilo Díaz [aut, cre, com],
Andrés Galeano [aut],
Julián Rojas [aut],
Quantil S.A.S [aut, cph] |
| Maintainer: |
Camilo Díaz <camilo.diaz at quantil.com.co> |
| License: |
GPL (≥ 3) |
| NeedsCompilation: |
no |
| Materials: |
README NEWS |
| CRAN checks: |
QuantBondCurves results |
Documentation:
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