FittedBondCurve: Returns the discount curve (with zero rates and forwards)...
In RQuantLib: R interface to the QuantLib library

Description Usage Arguments Details Value Author(s) References Examples

FittedBondCurve fits a term structure to a set of bonds using three different fitting methodologies. For more detail, see QuantLib/Example/FittedBondCurve.

1	FittedBondCurve(curveparams, lengths, coupons, marketQuotes, dateparams)

curveparams

curve parameters

`method`	a string, fitting methods: "ExponentialSplinesFitting",
	"SimplePolynomialFitting", "NelsonSiegelFitting"
`origDate`	a Date, starting date of the curve

lengths

an numeric vector, length of the bonds in year

coupons

a numeric vector, coupon rate of the bonds

marketQuotes

a numeric vector, market price of the bonds

dateparams

(Optional) a named list, QuantLib's date parameters of the bond.

`settlementDays`	(Optional) a double, settlement days.
	Default value is 1.
`dayCounter`	(Optional) a number or string,
	day counter convention.
	See Enum. Default value is 'Thirty360'
`period`	(Optional) a number or string,
	interest compounding interval. See Enum.
	Default value is 'Semiannual'.
`businessDayConvention`	(Optional) a number or string,
	business day convention.
	See Enum. Default value is 'Following'.

See example below.

Please see any decent Finance textbook for background reading, and the QuantLib documentation for details on the QuantLib implementation.

table, a three columns "date - zeroRate - discount" data frame

Khanh Nguyen knguyen@cs.umb.edu for the inplementation; Dirk Eddelbuettel edd@debian.org for the R interface; the QuantLib Group for QuantLib

http://quantlib.org/ for details on QuantLib.

lengths <- c(2,4,6,8,10,12,14,16,18,20,22,24,26,28,30)
coupons <- c( 0.0200, 0.0225, 0.0250, 0.0275, 0.0300,
              0.0325, 0.0350, 0.0375, 0.0400, 0.0425,
              0.0450, 0.0475, 0.0500, 0.0525, 0.0550 )
marketQuotes <- rep(100, length(lengths))
dateparams <- list(settlementDays=0, period="Annual", 
                   dayCounter="ActualActual", 
                  businessDayConvention ="Unadjusted")
curveparams <- list(method="ExponentialSplinesFitting", 
                    origDate = Sys.Date())
curve <- FittedBondCurve(curveparams, lengths, coupons, marketQuotes, dateparams)
library(zoo)
z <- zoo(curve$table$zeroRates, order.by=curve$table$date)
plot(z)