Package: fmbasics 0.3.99

fmbasics: Financial Market Building Blocks

Implements basic financial market objects like currencies, currency pairs, interest rates and interest rate indices. You will be able to use Benchmark instances of these objects which have been defined using their most common conventions or those defined by International Swap Dealer Association (ISDA, <https://www.isda.org>) legal documentation.

Authors:Imanuel Costigan [aut, cre], Sayf Hamada [ctb]

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fmbasics/json (API)
NEWS

# Install fmbasics in R:

install.packages('fmbasics', repos = c('https://imanuelcostigan.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://github.com/imanuelcostigan/fmbasics/issues

On CRAN:

derivatives finance

112 exports 12 stars 1.64 score 36 dependencies 143 downloads

Last updated 5 years agofrom:f9a79f0ce2

Exports:AONIA as_DiscountFactor as_InterestRate as_SurvivalProbabilities as_ZeroHazardRate AUD AUDBBSW AUDBBSW1b AUDNZD AUDUSD build_vol_quotes build_vol_surface build_zero_curve CashFlow CashIndex CDSCurve CDSMarkitSpec CDSSingleNameSpec CDSSpec CHF CHFLIBOR CHFTOIS ConstantInterpolation CreditCurve CubicInterpolation Currency CurrencyPair DiscountFactor EONIA EUR EURCHF EURGBP EURIBOR EURNOK EURUSD FedFunds GBP GBPJPY GBPLIBOR GBPUSD HKD HKDHIBOR HONIX IborIndex InterestRate interpolate interpolate_dfs interpolate_fwds interpolate_zeros invert is_t1 is.CashFlow is.CashIndex is.CDSCurve is.CDSSpec is.ConstantInterpolation is.CreditCurve is.CubicInterpolation is.Currency is.CurrencyPair is.DiscountFactor is.IborIndex is.Index is.InterestRate is.Interpolation is.LinearCubicTimeVarInterpolation is.LinearInterpolation is.LogDFInterpolation is.MultiCurrencyMoney is.SingleCurrencyMoney is.SurvivalProbabilities is.VolQuotes is.VolSurface is.ZeroCurve is.ZeroHazardRate iso JPY JPYLIBOR JPYTIBOR LinearCubicTimeVarInterpolation LinearInterpolation LogDFInterpolation MultiCurrencyMoney NOK NOKNIBOR NZD NZDBKBM NZDUSD NZIONA SingleCurrencyMoney SONIA SurvivalProbabilities to_forward to_fx_value to_maturity to_reset to_spot to_spot_next to_today to_tomorrow to_value TONAR USD USDCHF USDHKD USDJPY USDLIBOR USDNOK VolQuotes VolSurface ZeroCurve ZeroHazardRate

Dependencies:assertthat bit bit64 cli clipr cpp11 crayon credule dplyr fansi fmdates generics glue hms lifecycle lubridate magrittr pillar pkgconfig prettyunits progress purrr R6 readr rlang stringi stringr tibble tidyr tidyselect timechange tzdb utf8 vctrs vroom withr

Currencies, currency pairs and indices

Imanuel Costigan

Rendered frombasics.Rmdusingknitr::rmarkdownon Jun 19 2024.

Last update: 2017-02-12
Started: 2017-02-04

Rates and Discount Factors

Imanuel Costigan

Rendered fromrates.Rmdusingknitr::rmarkdownon Jun 19 2024.

Last update: 2017-12-29
Started: 2017-01-15

Citation

Development and contributors

Readme and manuals

Help Manual

Help page	Topics
Coerce to DiscountFactor	as_DiscountFactor as_DiscountFactor.InterestRate
Coerce to InterestRate	as_InterestRate as_InterestRate.DiscountFactor as_InterestRate.InterestRate
Coerce to InterestRate	as_SurvivalProbabilities as_SurvivalProbabilities.ZeroHazardRate
Bootstraps Survival Probabilitie from a CDS curve Using credule package. The output of bootstrapping is a vector of cumulative survival probabilities.	as_SurvivalProbabilities.CDSCurve
CreditCurve attributes as a data frame	as_tibble.CreditCurve
ZeroCurve attributes as a data frame	as_tibble.ZeroCurve
Coerce to ZeroHazardRate	as_ZeroHazardRate as_ZeroHazardRate.SurvivalProbabilities as_ZeroHazardRate.ZeroHazardRate
Build a 'VolQuotes' object from an example data set	build_vol_quotes
Build a 'VolSurface' from an example date set	build_vol_surface
Build a 'ZeroCurve' from example data set	build_zero_curve
Create a CashFlow	CashFlow
CashIndex class	CashIndex
Builds a 'CDSCurve'	CDSCurve
Build a 'CDSMarkitSpec'	CDSMarkitSpec
Builds a 'CDSSingleNameSpec'	CDSSingleNameSpec
Build a 'CDSSpec'	CDSSpec
CreditCurve class	CreditCurve
Build a Currency	Currency
Handy Currency constructors	AUD CHF CurrencyConstructors EUR GBP HKD JPY NOK NZD USD
CurrencyPair class	CurrencyPair
Handy CurrencyPair constructors	AUDNZD AUDUSD CurrencyPairConstructors EURCHF EURGBP EURNOK EURUSD GBPJPY GBPUSD NZDUSD USDCHF USDHKD USDJPY USDNOK
CurrencyPair methods	CurrencyPairMethods invert is_t1 to_forward to_fx_value to_spot to_spot_next to_today to_tomorrow
DiscountFactor class	DiscountFactor
'DiscountFactor' operations	DiscountFactor-operators
fmbasics: Financial Market Building Blocks	fmbasics-package fmbasics
IborIndex class	IborIndex
Standard IBOR	AUDBBSW AUDBBSW1b CHFLIBOR EURIBOR GBPLIBOR HKDHIBOR iborindices JPYLIBOR JPYTIBOR NOKNIBOR NZDBKBM USDLIBOR
Index class checkers	indexcheckers is.CashIndex is.IborIndex is.Index
Index date shifters	indexshifters to_maturity to_maturity.default to_reset to_reset.default to_value to_value.default
InterestRate class	InterestRate
'InterestRate' operations	InterestRate-operators
Interpolate values from an object	interpolate
Interpolate forward rates and discount factors	interpolate_dfs interpolate_dfs.CreditCurve interpolate_dfs.ZeroCurve interpolate_fwds interpolate_fwds.CreditCurve interpolate_fwds.ZeroCurve
Interpolate zeros	interpolate_zeros interpolate_zeros.CreditCurve interpolate_zeros.ZeroCurve
Interpolate a 'CreditCurve'	interpolate.CreditCurve
Interpolate a 'VolSurface' object.	interpolate.VolSurface
Interpolate a 'ZeroCurve'	interpolate.ZeroCurve
Interpolation	ConstantInterpolation CubicInterpolation Interpolation LinearCubicTimeVarInterpolation LinearInterpolation LogDFInterpolation
Compounding frequencies	compounding is_valid_compounding
Inherits from CashFlow	is.CashFlow
Inherits from CDSCurve	is.CDSCurve
Inherits from CDSSpec	is.CDSSpec
Inherits from CreditCurve	is.CreditCurve
Inherits from Currency	is.Currency
Inherits from 'CurrencyPair' class	is.CurrencyPair
Inherits from DiscountFactor	is.DiscountFactor
Inherits from InterestRate	is.InterestRate
Check Interpolation class	is.ConstantInterpolation is.CubicInterpolation is.Interpolation is.LinearCubicTimeVarInterpolation is.LinearInterpolation is.LogDFInterpolation
Inherits from MultiCurrencyMoney	is.MultiCurrencyMoney
Inherits from SingleCurrencyMoney	is.SingleCurrencyMoney
Inherits from SurvivalProbabilities	is.SurvivalProbabilities
Inherits from VolQuotes	is.VolQuotes
Inherits from VolSurface	is.VolSurface
Inherits from ZeroCurve	is.ZeroCurve
Inherits from ZeroHazardRate	is.ZeroHazardRate
Get ISO	iso iso.CashIndex iso.CurrencyPair iso.default iso.IborIndex
MultiCurrencyMoney	MultiCurrencyMoney
Standard ONIA	AONIA CHFTOIS EONIA FedFunds HONIX NZIONA oniaindices SONIA TONAR
SingleCurrencyMoney	SingleCurrencyMoney
Builds a 'SurvivalProbabilitiesCurve'	SurvivalProbabilities
'SurvivalProbabilities' operations	SurvivalProbabilities-operators
VolQuotes class	VolQuotes
VolSurface class	VolSurface
ZeroCurve class	ZeroCurve
Builds a 'ZeroHazardRate'	ZeroHazardRate
'ZeroHazardRate' operations	ZeroHazardRate-operators