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: | 0.3.2 |
| Depends: | R (≥ 3.5.0) |
| Imports: | lubridate, quantdates, Rsolnp |
| Suggests: | testthat (≥ 3.0.0), knitr, rmarkdown, ggplot2 |
| Published: | 2025-07-06 |
| DOI: | 10.32614/CRAN.package.QuantBondCurves |
| Author: | Camilo Díaz [aut, cre, com], Andrés Galeano [aut], Julián Rojas [aut], Quantil S.A.S [aut, cph] |
| Maintainer: | Camilo Díaz <kamodiaz at gmail.com> |
| License: | GPL (≥ 3) |
| NeedsCompilation: | no |
| Materials: | README, NEWS |
| CRAN checks: | QuantBondCurves results |
| Reference manual: | QuantBondCurves.html , QuantBondCurves.pdf |
| Vignettes: |
QuantBondCurves (source, R code) |
| Package source: | QuantBondCurves_0.3.2.tar.gz |
| Windows binaries: | r-devel: QuantBondCurves_0.3.2.zip, r-release: QuantBondCurves_0.3.2.zip, r-oldrel: QuantBondCurves_0.3.2.zip |
| macOS binaries: | r-release (arm64): QuantBondCurves_0.3.2.tgz, r-oldrel (arm64): QuantBondCurves_0.3.2.tgz, r-release (x86_64): QuantBondCurves_0.3.2.tgz, r-oldrel (x86_64): QuantBondCurves_0.3.2.tgz |
| Old sources: | QuantBondCurves archive |
Please use the canonical form https://CRAN.R-project.org/package=QuantBondCurves to link to this page.
Need a high-speed mirror for your open-source project?
Contact our mirror admin team at info@clientvps.com.
This archive is provided as a free public service to the community.
Proudly supported by infrastructure from VPSPulse , RxServers , BuyNumber , UnitVPS , OffshoreName and secure payment technology by ArionPay.