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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Davide Magno

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

Head of Financial Risk Management

Dublin, Ireland