Shiny portfolio

I will use this post as repository of all the publicly available shiny dashboards I have developed through time. Online Interest Rate Swap Monitor An online application developed using R shiny to monitor in realtime the change in the the Interest Rate Swap market by scraping the web. Source data is automatically scraped from a third party website . Interactive Dashboard on Covid19 data in Italy An interactive dashboard to track the evolution of the Covid19 contagion in Italy.

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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 the next releases SwapPricer: instructions for use To run a multi-currency swap portfolio valuation you need the following three “ingredients”:

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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:

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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 comparing the results obtained vs Bloomberg and showing significantly good results.

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Author's picture

Davide Magno

An Italian coding, tech, financial math professional and running lover

Head of Financial Risk Management

Dublin, Ireland