RTL (version 0.1.6)

getIRswapCurve: getIRswapCurve

Description

Extract historical data for tsQuotes in RQuantlib to bootstrap swap curve using Morningstar and FRED as data source.

Usage

getIRswapCurve(
  currency = "USD",
  from = "2019-01-01",
  iuser = "[e-mail]",
  ipassword = "pass"
)

Arguments

currency

Currently only USD LIBOR implemented.

from

From date as character string

iuser

Morningstar user name as character - sourced locally in examples.

ipassword

Morningstar user password as character - sourced locally in examples.

Value

wide data frame

Examples

# NOT RUN {
getIRswapCurve(currency="USD", from="2019-08-26",iuser = username, ipassword = password)
# }