SwapPricer is on Github

Articles From: curiousfrm.com
Website: curiousfrm.com

Davide Magno


Author of the Blog curiousfrm.com

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)

The package is not on CRAN yet, but it already has an official hexagon sticker. Here it is:

SwapPricer is on Github

In order to price a swap you just need to run the following code.

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.basket which consists of a portfolio of 5 swaps that can be referenced as a blueprint for your swap portfolio
  • df.table this 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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