Blog Archives

Multi Currency Swap Pricing with SwapPricer

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 coupon frequency, day count convention. We are working to introduce OIS Discounting in...

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SwapPricer is on Github

SwapPricer is on Github

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...

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Pricing floating legs of interest rate swaps

Pricing floating legs of interest rate swaps

In this post we will close the trilogy on (old style) swap pricing. In particular, we will look at how downloading the data for the variable rate needed to calculate the variable leg accrual. Part 1 gave the general idea behind tidy pricing interest rate swaps using a 7 lines pipe Part 2 went much more into detail and priced some real world contract...

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Real world tidy interest rate swap pricing

Real world tidy interest rate swap pricing

In this post I will show how easy is to price a portfolio of swaps leveraging the purrr package and given the swap pricing functions that we introduced in a previous post. I will do this in a “real world” environment hence using real market data as per the last 14th of April. Import the discount factors from Bloomberg Let’s start...

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Using the tidyverse for swap pricing

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 projecting financial cashflows linked to instruments like interest rte swaps. In this...

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