Interest Rate Swap Pricing using R code
This post explains how to price an interest rate swap (IRS) using R code and Excel's illustrations. We use swap rates, zero curve data from Bloomberg. We consider 5-Year Libor 3M IRS without OIS discounting as an pre-crisis IRS example. Libor ... The post Interest Rate Swap Pricing using R code first appeared on R-bloggers.
http://dlvr.it/S3TLF5
http://dlvr.it/S3TLF5

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