Hi Andr?,
I think some tools for this are implemented in 'RQuantLib', but you may
want to browse the finance task view:
http://cran.r-project.org/web/views/Finance.html
for finding some other packages. There is also a mailing list dedicated
to finance:
https://stat.ethz.ch/mailman/listinfo/r-sig-finance
There you may get better answers to finance-related questions.
Regards,
Enrico
Am 07.01.2012 11:29, schrieb Andr? de Boer:> Hello,
>
> With which package can I build a yield curve using swap data with the
> bootstrapping method?
>
> Thanks for the reaction,
> Andr?
>
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>
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--
Enrico Schumann
Lucerne, Switzerland
http://nmof.net/