Posted by
Dirk Eddelbuettel on
Jun 04, 2013; 1:59am
URL: http://quantlib.414.s1.nabble.com/QuantLib-R-package-from-SWIG-code-tp14318p14319.html
On 3 June 2013 at 20:06, Dirk Eddelbuettel wrote:
| edd@max:~/svn/rquantlib/pkg/QuantLib$ R --slave -e 'source("demo/bonds.R")'
| Today :[1] "2008-09-15"
| Settlement Date: [1] "2008-09-18"
|
| Results:
| zeroCoupon fixedRate floatingRate
| NPV 100.922 107.66829 102.3593146
| Clean Price 100.922 106.12753 101.7972017
| Dirty Price 100.922 107.66829 102.3593146
| Accrued Amount 0.000 1.54076 0.5621129
| Previous Coupon NA 0.04500 0.0288625
| Next Coupon NA 0.04500 0.0342984
|
| Sample indirect computations (for the floating rate bond):
| Yield to Clean Price: [1] 101.797
| Clean Price to Yield: [1] 0.0220096
| edd@max:~/svn/rquantlib/pkg/QuantLib$
Here is the same from slightly better version (and now source'd from R)
R> source("bonds.R")
Today :[1] "2008-09-15"
Settlement Date: [1] "2008-09-18"
Results:
zeroCoupon fixedRate floatingRate
NPV 100.9222 107.6683 102.35931
Clean Price 100.9222 106.1275 101.79720
Dirty Price 100.9222 107.6683 102.35931
Accrued Amount 0.0000 1.5408 0.56211
Previous Coupon NA 4.5000 2.88625
Next Coupon NA 4.5000 3.42984
Yield 3.0001 3.6476 2.20096
Sample indirect computations (for the floating rate bond):
Yield to Clean Price: [1] 101.797
Clean Price to Yield: [1] 0.0220096
The file is in the SVN repo for R. It starts with library(QuantLib), the
three lines in Joe's README can also be used to load the shared library and
pre-created data types. I'd be happy to check it into QuantLib too.
Dirk
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