In this post I will show how easy is to price a portfolio of swaps leveraging the purrr package and given the swap pricing functions that we introduced in a previous post. I will do this in a “real world” environment hence using real market data as per the last 14th of April. Import the discount factors from Bloomberg Let’s start the pricing of the swap portfolio with purrr by loading from an external source the EUR discount factor curve.

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Davide Magno

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

Head of Financial Risk Management

Dublin, Ireland