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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: 0.3.0
Depends: R (≥ 3.5.0)
Imports: lubridate, quantdates, Rsolnp
Suggests: testthat (≥ 3.0.0), knitr, rmarkdown, ggplot2
Published: 2024-05-16
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

Documentation:

Reference manual: QuantBondCurves.pdf
Vignettes: QuantBondCurves

Downloads:

Package source: QuantBondCurves_0.3.0.tar.gz
Windows binaries: r-devel: QuantBondCurves_0.3.0.zip, r-release: QuantBondCurves_0.3.0.zip, r-oldrel: QuantBondCurves_0.3.0.zip
macOS binaries: r-release (arm64): QuantBondCurves_0.3.0.tgz, r-oldrel (arm64): QuantBondCurves_0.3.0.tgz, r-release (x86_64): QuantBondCurves_0.3.0.tgz, r-oldrel (x86_64): QuantBondCurves_0.3.0.tgz
Old sources: QuantBondCurves archive

Linking:

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These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
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