Question

我使用＆＃34; RQuantLib＆＃34;模拟香草利率互换。包。我遵循Cran Paper＆＃34; RQuantLib＆＃34;中给出的例子。对于利率互换的固定支柱，示例中的给定R代码是;

bond <- list(faceAmount=100,
         issueDate=as.Date("2004-11-30"),
         maturityDate=as.Date("2008-11-30"),
         redemption=100, 
         effectiveDate=as.Date("2004-11-30"))
dateparams <- list(settlementDays=1,
                   calendar="us", dayCounter = 'Thirty360', period=2, 
                   businessDayConvention = 4, terminationDateConvention=4,
                   dateGeneration=1, endOfMonth=1)

coupon.rate <- c(0.02875)

params <- list(tradeDate=as.Date('2002-2-15'),
               settleDate=as.Date('2002-2-19'),
               dt=.25,
               interpWhat="discount",
               interpHow="loglinear")
setEvaluationDate(as.Date("2004-11-22"))

discountCurve.flat <- DiscountCurve(params, list(flat=0.05))
FixedRateBond(bond, coupon.rate, discountCurve.flat, dateparams)


#Same bond with a discount curve constructed from market quotes
tsQuotes <- list(d1w  =0.0382,
                 d1m  =0.0372,
                 fut1=96.2875,
                 fut2=96.7875,
                 fut3=96.9875,
                 fut4=96.6875,
                 fut5=96.4875,
                 fut6=96.3875,
                 fut7=96.2875,
                 fut8=96.0875,
                 s3y  =0.0398,
                 s5y  =0.0443,
                 s10y =0.05165,
                 s15y =0.055175)

discountCurve <- DiscountCurve(params, tsQuotes)
FixedRateBond(bond, coupon.rate, discountCurve, dateparams)


#example with default dateparams
FixedRateBond(bond, coupon.rate, discountCurve)

##exampe with defaul bond parameter and dateparams
bond <- list(issueDate=as.Date("2004-11-30"),
             maturityDate=as.Date("2008-11-30"))
dateparams <- list(calendar="us",
                   dayCounter = "ActualActual", 
                   period="Annual")
FixedRateBond(bond, coupon.rate, discountCurve, dateparams)

但是，在此R代码中，以下成绩单显示错误;

setEvaluationDate(as.Date("2004-11-22"))

discountCurve.flat <- DiscountCurve(params, list(flat=0.05))

，错误如下;

> setEvaluationDate(as.Date("2004-11-22"))
Error: could not find function "setEvaluationDate"
> discountCurve.flat <- DiscountCurve(params, list(flat=0.05))
Error: could not find function "DiscountCurve"

我试图调查为什么R代码无法编译但我失败了。有人可以帮忙吗？

Answer 1

也许你没有加载包：

?fields=x,y,z

使用＆＃34; RQuantLib＆＃34;进行香草利率互换的估值包

1 个答案: