Andreas, On 31 August 2007 at 18:16, Andreas Wittmann wrote: | i'm working on the next version of the CreditMetrics package. So i have | the question, are there any functions or packages which have have the | functionality to calculate dates with a certain day count convention | like act/360 or 30/360? Intensive search in the r-help archive or in the | manuals did not bring any solution.
The QuantLib project contains a lot of those, see quantlib.org. So we could write a few more wrappers for RQuantLib to make these functions available in R. Have a look at RQuantLib: currently, it contains mostly a few (equity) options pricers I added and a few fixed-income / curves functions that Dominik added. Let us know if you're interested in extending this. Cheers, Dirk -- Three out of two people have difficulties with fractions. ______________________________________________ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
