I have released a new version of the package SwapPricer on GitHub here. As we are now at version 1.0.1 the toolbox is able to price using just a one-curve framework but is able to price multiple currencies (ie. CHF, EUR, GBP, JPY and USD) and any convention in terms of ... [Read more...]

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, ... [Read more...]

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Introduction I am a big passionate of the tidyverse packages: I think they make the code very clean and clear. In particular, I like the lubridate packages for managing and making operations with dates but its major drawback is that it doesn’t manage financial holidays, which are key when ... [Read more...]

One of the most common problems when dealign with financial data is to have assets (or liabilities) denominated in a currency that is different from the domestic one. I propose a tidy solution to this problem that involves no use of for cycles. The principle of the solution is that ... [Read more...]