DavideMagno/SwapPricer: Pricing of Financial Interest Rate Swaps
This toolbox calculates the price and risk characteristics of interest rate swaps, a widely used financial instrument. Please refer to the vignettes to understand how to setup the input data and run the main routines. The current version of the toolbox can price standard and non standard swaps denominated in Swiss Franc, Euro, UK Sterling, Japanese Yen and US Dollars using a one curve approach. The functions in this package implement the methodology present in the following paper:<arXiv:0905.2770>
Getting started
Browse package contents
Package details |
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| Author | Davide Magno |
| Maintainer | Davide Magno <davide.magno@curiousfrm.com> |
| License | GPL-3 |
| Version | 1.0.2 |
| URL | https://github.com/DavideMagno/SwapPricer https://www.curiousfrm.com/ |
| Package repository | View on GitHub |
| Installation |
Install the latest version of this package by entering the following in R:
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