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Jun 7

An Interest Rate R Package Plan

Posted by abiao at 09:26 | Code » R/Splus | Comments(5) | Reads(11599)
I recently have done some empirical studies on zero-coupon bond modelling and pricing, and plan to create an interest rate R package in order to make it re-usable, as I find there are only two R package on it, one is http://cran.r-project.org/web/packages/termstrc/index.html, the other one is http://cran.r-project.org/web/packages/YieldCurve/index.html, both of them don't cover short interest rate model, unfortunately.

Below is a short plan, help me add it by leaving a comment, thanks.
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I'm forward looking for that......I need them as being work.
I didn't continue as I realized there were several similar packages already, such as http://cran.r-project.org/web/packages/fBonds/index.html, http://cran.r-project.org/web/packages/termstrc/index.html, http://cran.r-project.org/web/packages/YieldCurve/index.html, http://cran.r-project.org/web/packages/FKF/index.html. You just need to change a little bit.
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short plan? is there any details?
Did anything ever come of this......??
No, unfortunately not, after I realized there were similar packages already.
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