[Rquantlib-devel] RQuantLib package

[Dirk Eddelbuettel]

Dragomir,

I am ccing the reply to the rquantlib-devel list I just created. Questions
like this make the most sense there.  Just in case, I'm also CCing Khanh and
myself as the princial recipients.

On 18 February 2010 at 07:44, dragomir nedeltchev wrote:
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| Dear Mr. Eddelbuettel,

Nope. Either a formal Dr Eddelbuettel, or just Dirk. I recommend the latter :)
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| Thank you for keeping RQuantLib updated.
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| Could you please tell how to apply the package to value a
| callable convertible bond? How could I construct the term structure of credit
| spreads of a bond?

You would need to find out how to do it in a standalone C++ program linked to
QuantLib.  I think there are examples.  RQuantLib has bond pricing, and it
has options, but it does not have converts.

But once you have a working example in C++ we can show you how to hook it up
to R by extending RQuantLib.  But we can't write the example for you.

Regards, Dirk

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| Thanks in advance.
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| Kind regards,
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| Dragomir Nedeltchev
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