{"id":13775,"date":"2019-08-09T09:41:27","date_gmt":"2019-08-09T13:41:27","guid":{"rendered":"https:\/\/ibkrcampus.com\/?p=13775"},"modified":"2022-11-21T09:44:00","modified_gmt":"2022-11-21T14:44:00","slug":"swappricer-is-on-github","status":"publish","type":"post","link":"https:\/\/www.interactivebrokers.com\/campus\/ibkr-quant-news\/swappricer-is-on-github\/","title":{"rendered":"SwapPricer is on Github"},"content":{"rendered":"\n<p class=\"wp-block-paragraph\">In previous <a href=\"\/campus\/author\/davide-magno\/\">posts<\/a> 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\u2026<code>SwapPricer<\/code>!<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">You can install it as follows:<\/p>\n\n\n\n<p style=\"background-color:#fcfcdb;font-size:11px\" class=\"has-background wp-block-paragraph\"># library(devtools) <br>devtools::install_github(&#8220;DavideMagno\/SwapPricer&#8221;) <\/p>\n\n\n\n<p class=\"wp-block-paragraph\">The package is not on CRAN yet, but it already has an official hexagon sticker. Here it is: <\/p>\n\n\n\n<figure class=\"wp-block-image is-resized\"><img decoding=\"async\" data-src=\"\/campus\/wp-content\/uploads\/sites\/2\/2019\/08\/SwapPricerHex.png\" alt=\"SwapPricer is on Github\" class=\"wp-image-13778 lazyload\" width=\"189\" height=\"217\" src=\"data:image\/svg+xml;base64,PHN2ZyB3aWR0aD0iMSIgaGVpZ2h0PSIxIiB4bWxucz0iaHR0cDovL3d3dy53My5vcmcvMjAwMC9zdmciPjwvc3ZnPg==\" style=\"--smush-placeholder-width: 189px; aspect-ratio: 189\/217;\" \/><\/figure>\n\n\n\n<p class=\"wp-block-paragraph\"> In order to price a swap you just need to run the following code. <\/p>\n\n\n\n<p style=\"background-color:#fcfcdb;font-size:11px\" class=\"has-background wp-block-paragraph\">library(SwapPricer) <br>SwapPortfolioPricing(SwapPricer::swap.basket, lubridate::ymd(20190414), SwapPricer::df.table) <\/p>\n\n\n\n<p style=\"background-color:#fcfcdb;font-size:11px\" class=\"has-background\"> ## # A tibble:&nbsp;&nbsp;&nbsp;&nbsp;5 x 7 <br>##&nbsp;&nbsp;&nbsp;swap.id&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;clean.mv&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;dirty.mv&nbsp;&nbsp;accrual.pay&nbsp;&nbsp;accrual.receive&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;par&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;pv01 <br>##&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;   &lt;chr&gt;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&lt;dbl&gt;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&lt;dbl&gt;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&lt;dbl&gt;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&lt;dbl&gt;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&lt;dbl&gt;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&lt;dbl&gt; <br>## 1 Swap&nbsp;&nbsp;&nbsp;&nbsp;25y&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;    -8.82e5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;-8.75e5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5441.&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1379.&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.00771&nbsp;&nbsp;&nbsp;&nbsp;-12394. <br>## 2 Swap&nbsp;&nbsp;&nbsp;&nbsp;30y&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.34e5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  1.24e5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;-97222.&nbsp;&nbsp;&nbsp;&nbsp;-12470&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.0111&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;20867. <br>## 3 Swap&nbsp;&nbsp;&nbsp;&nbsp; 10y&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.22e5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.36e5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;      6702.&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7361.&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;-0.00138&nbsp;&nbsp;&nbsp;&nbsp;\n-5724. <br>## 4 Swap&nbsp;&nbsp;&nbsp;&nbsp; 2y16y&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.60e5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.60e5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.0118&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;-11163. <br>## 5 Swap&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;non \u2026&nbsp;&nbsp;&nbsp;&nbsp;-2.59e6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;-2.87e6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;-263836.&nbsp;&nbsp;&nbsp;-14681.&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.0107&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;27914. <\/p>\n\n\n\n<p class=\"wp-block-paragraph\">You can see that I have used two objects that are delivered with the package:<\/p>\n\n\n\n<ul class=\"wp-block-list\"><li><em><code>swap.basket<\/code><\/em>&nbsp;which consists of a portfolio of 5 swaps that can be referenced as a blueprint for your swap portfolio<\/li><li><em><code>df.table<\/code><\/em>&nbsp;this is the discount curve downloaded from Bloomberg as at the 14th of April 2019<\/li><\/ul>\n\n\n\n<p class=\"wp-block-paragraph\">We have tested the package using a portfolio of 500 swaps. We analyse the  results using the amazing&nbsp;<em><code>profvis<\/code><\/em><code> <\/code>tool.<\/p>\n\n\n\n<p class=\"wp-block-paragraph\"><em>Visit <\/em><a href=\"https:\/\/www.curiousfrm.com\/2019\/07\/swappricer-is-on-github\/\"><em>Davide&#8217;s Blog<\/em><\/a><em> to learn more about the analysis with the profvis tool, and to download the code for the <\/em><code><em>microbenchmark&nbsp;<\/em><\/code><em>test.<\/em><\/p>\n\n\n\n<div style=\"height:100px\" aria-hidden=\"true\" class=\"wp-block-spacer\"><\/div>\n\n\n\n<p class=\"wp-block-paragraph\"><em>Note: this is  v0.1.0  of the package. Let Davide know your comments via his <a href=\"https:\/\/www.curiousfrm.com\/2019\/07\/swappricer-is-on-github\/\">Blog<\/a>.<\/em><\/p>\n","protected":false},"excerpt":{"rendered":"<p>Davide Magno walks us through the installation of SwapPricer R package on GitHub and analysis with profvis tool.<\/p>\n","protected":false},"author":123,"featured_media":13788,"comment_status":"closed","ping_status":"open","sticky":true,"template":"","format":"standard","meta":{"_acf_changed":false,"footnotes":"","jetpack_post_was_ever_published":false},"categories":[339,343,338,351,344,342],"tags":[865,1688,487,508,2898],"contributors-categories":[13656],"class_list":["post-13775","post","type-post","status-publish","format-standard","has-post-thumbnail","category-data-science","category-programing-languages","category-ibkr-quant-news","category-quant-europe","category-quant-regions","category-r-development","tag-github","tag-portfolio-optimization","tag-r","tag-rstudio","tag-swappricer","contributors-categories-curiousfrm-com"],"pp_statuses_selecting_workflow":false,"pp_workflow_action":"current","pp_status_selection":"publish","acf":[],"yoast_head":"<!-- This site is optimized with the Yoast SEO Premium plugin v26.9 (Yoast SEO v27.8) - 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