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”:
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:
In this post we will close the trilogy on (old style) swap pricing. In particular, we will look at how downloading the data for the variable rate needed to calculate the variable leg accrual.
Part 1 gave the general idea behind tidy pricing interest rate swaps using a 7 lines pipe
Part 2 went much more into detail and priced some real world contract comparing the results obtained vs Bloomberg and showing significantly good results.
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.
