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