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 case, I prefer to use the RQuantLib package.

Continue reading

Author's picture

Davide Magno

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

Head of Financial Risk Management

Dublin, Ireland