You didn't say you were looking for LIBOR *swaps*. You also didn't say
what tenor you were looking for.
LIBOR is quoted daily in overnight, 3-month, 6 month, and 1-year tenors
(at least, there may be more).
There are many, many derivative and loan contracts and OTC products
marked to LIBOR or valued from it, so you need to be much more specific.
If you want cash flow payable dates for an ISDA standard 3-month LIBOR
interest rate swap, you need to say that, specifically (and what you're
swapping against, of course). If you want something else, then perhaps
you need to sort out your terminology so that you can be specific.
Regards,
Brian
On 08/20/2014 07:39 AM, Keith S Weintraub wrote:
It's a convention for date schedules for interest rate swaps.
I don't remember all the details but it takes into account holidays and weekends. I think
it uses a "modified following" business convention.
Payments are made using Actual/360 day counts.
My preference would be to have a function that takes a start-date/end-date and
just generate the schedule.
I am not sure if the definitions are in the ISDA docs or http://www.bba.org.uk/
or somewhere else.
Thanks,
KW
--
On Aug 19, 2014, at 7:14 PM, Ilya Kipnis <ilya.kip...@gmail.com> wrote:
Keith,
I'm not particularly familiar with Libor schedules. Do they follow a
particular pattern/schedule/etc.?
-Ilya
On Tue, Aug 19, 2014 at 7:09 PM, Keith S Weintraub <kw1...@gmail.com> wrote:
Folks,
I want to create a schedule for quarterly (or other frequency) LIBOR dates. I
assume it can be done in RQuantLib.
Note that I have read the "calendar" entry in the docs but I didn't see an EASY
way to do what I want.
The functionality seems to be there but I would like to know the best practice
for doing so.
A pointer to an example would be wonderful.
Thanks so much for your time,
Best,
KW
_______________________________________________
R-SIG-Finance@r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-sig-finance
-- Subscriber-posting only. If you want to post, subscribe first.
-- Also note that this is not the r-help list where general R questions should
go.
