[FEATURE] Implement yield curve bootstrapping à la Markit - Githubissues

hsloot / cvalr

Credit derivative valuation in R

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[FEATURE] Implement yield curve bootstrapping à la Markit #2

Open hsloot opened 3 years ago

hsloot commented 3 years ago

For real-world CDS and CDO valuation, interest rate yield curves have to be constructed from market data according the the Markit Interest Rate Curve technical specification.

Components

[ ] Bootstrap yield curves with Market method from deposit and swap rates

Additional features

[ ] Download and unpack xml data
[ ] Log-linear interpolation of yield curves