[Rquantlib-devel] RQuantLib package

[Khanh Nguyen]

Dragomir,

RQuantLib has convertible bonds and callable bond but it does not have
callable convertible bond.

> | 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.
>

I can not do better than Dirk here. Porting working quantlib code to R
is relatively easy. Once you have your implementation, we can show you
how to interface it with R.

-k