In previous posts we coded in R to estimate prices of interest rate swaps. I am honoured to announce that I have decided to put all the functions I have described together into an R package that is called…SwapPricer!
You can install it as follows:
# library(devtools)
devtools::install_github(“DavideMagno/SwapPricer”)
The package is not on CRAN yet, but it already has an official hexagon sticker. Here it is:
In order to price a swap you just need to run the following code.
library(SwapPricer)
SwapPortfolioPricing(SwapPricer::swap.basket, lubridate::ymd(20190414), SwapPricer::df.table)
## # A tibble: 5 x 7
## swap.id clean.mv dirty.mv accrual.pay accrual.receive par pv01
## <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl>
## 1 Swap 25y -8.82e5 -8.75e5 5441. 1379. 0.00771 -12394.
## 2 Swap 30y 2.34e5 1.24e5 -97222. -12470 0.0111 20867.
## 3 Swap 10y 2.22e5 2.36e5 6702. 7361. -0.00138
-5724.
## 4 Swap 2y16y 3.60e5 3.60e5 0 0 0.0118 -11163.
## 5 Swap non … -2.59e6 -2.87e6 -263836. -14681. 0.0107 27914.
You can see that I have used two objects that are delivered with the package:
swap.basketwhich consists of a portfolio of 5 swaps that can be referenced as a blueprint for your swap portfoliodf.tablethis is the discount curve downloaded from Bloomberg as at the 14th of April 2019
We have tested the package using a portfolio of 500 swaps. We analyse the results using the amazing profvis tool.
Visit Davide’s Blog to learn more about the analysis with the profvis tool, and to download the code for the microbenchmark test.
Note: this is v0.1.0 of the package. Let Davide know your comments via his Blog.
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