# SwapPricer is on Github

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In the previous posts we have seen how easy it is to price interest rate swaps using R. I am honoured to announce that I have decided to put all the functions I have described together into a package that is called…SwapPricer!

Ok, the name is not super original, but it should at least be easy to remember.

You can install it as follows:

# library(devtools) devtools::install_github("DavideMagno/SwapPricer")

The package is still unfortunately not on CRAN but it has an official hexagon. Here it is:

Let me know if you like it in the Disqus form below in the post.

In order to price a swap you just need to run the following code.

library(SwapPricer) SwapPortfolioPricing(SwapPricer::swap.basket, lubridate::ymd(20190414), SwapPricer::df.table) ## # A tibble: 5 x 7 ## swap.id clean.mv dirty.mv accrual.pay accrual.receive par pv01 #### 1 Swap 25y -8.82e5 -8.75e5 5441. 1379. 0.00771 -12394. ## 2 Swap 30y 2.34e5 1.24e5 -97222. -12470 0.0111 20867. ## 3 Swap 10y 2.22e5 2.36e5 6702. 7361. -0.00138 -5724. ## 4 Swap 2y16y 3.60e5 3.60e5 0 0 0.0118 -11163. ## 5 Swap non … -2.59e6 -2.87e6 -263836. -14681. 0.0107 27914.

You can see that I have used two objects that are delivered with the package:

*swap.basket*which consists in a 5 swaps portfolio that can be referenced as blueprint for your swap portfolio*df.table*this is the discount curve downloaded from Bloomberg as at the 14th of April 2019

We have tested the package using a 500 swaps portfolio and the results, in terms
of performance are very encouraging. We analyse them using the amazing *profvis*
tool.

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