install.packages("RQuantLib")
library(RQuantLib)

# ?DiscountCurve
# function (params, tsQuotes, times = seq(0, 10, 0.1)) 

# "params"
# A list specifying the tradeDate (month/day/year), settleDate, forward rate time span dt, and two curve construction options: interpWhat (with possible values discount, forward, and zero) and interpHow (with possible values linear, loglinear, and spline). spline here means cubic spline interpolation of the interpWhat value.
params <- list(tradeDate = as.Date("2004-09-20"), # trade date
               settleDate = as.Date("2004-09-22"), # settlement date
               dt = .25, # fwd rate time span
               interpWhat = "discount", # oppure "forward" o "zero"
               interpHow = "loglinear") # oppure "linear" o "spline"

setEvaluationDate(as.Date("2004-09-20"))


# "tsQuotes"
# Market quotes used to construct the spot term structure of interest rates. Must be a list of name/value pairs, where the currently recognized names are:
# flat  rate for a flat yield curve
# d1w	 1-week deposit rate
# d1m	 1-month deposit rate
# d3m	 3-month deposit rate
# d6m	 6-month deposit rate
# d9m	 9-month deposit rate
# d1y	 1-year deposit rate
# s2y	 2-year swap rate
# s3y	 3-year swap rate
# s5y	 5-year swap rate
# s10y  10-year swap rate
# s15y  15-year swap rate
# s20y  20-year swap rate
# s30y  30-year swap rate
# fut1--fut8	 3-month futures contracts
# fra3x6	 3x6 FRA
# fra6x9	 6x9 FRA
# fra6x12	 6x12 FRA
# Here rates are expected as fractions (so 5% means .05). If flat is specified it must be the first and only item in the list. The eight futures correspond to the first eight IMM dates. The maturity dates of the instruments specified need not be ordered, but they must be distinct.

# Forward rates and zero rates are computed assuming continuous compounding, so the forward rate f over the period from t1 to t2 is determined by the relation
# 
# d1/d2 = exp(f(t2 - t1)),
# 
# where d1 and d2 are discount factors corresponding to the two times. In the case of the zero rate t1 is the current time (the spot date).
# 
# Curve construction can be a delicate problem and the algorithms may fail for some input data sets and/or some combinations of the values for interpWhat and interpHow. Fortunately, the C++ exception mechanism seems to work well with the R interface, and QuantLib exceptions are propagated back to the R user, usually with a message that indicates what went wrong. (The first part of the message contains technical information about the precise location of the problem in the QuantLib code. Scroll to the end to find information that is meaningful to the R user.)

## We get numerical issue for the spline interpolation if we add
## any on of these three extra futures -- the original example
## creates different curves based on different deposit, fra, futures
## and swap data
## Removing s2y helps, as kindly pointed out by Luigi Ballabio
tsQuotes <- list(d1w = 0.0382, # deposit rates (eg EURIBOR)
                 d1m = 0.0372,
                 d3m = 0.0363,
                 d6m = 0.0353,
                 d9m = 0.0348,
                 d1y = 0.0345,
                 fut1 = 96.2875, # 3-months interest rates
                 fut2 = 96.7875, # futures contracts
                 fut3 = 96.9875,
                 fut4 = 96.6875,
                 fut5 = 96.4875,
                 fut6 = 96.3875,
                 fut7 = 96.2875,
                 fut8 =96.0875,
                 # s2y = 0.037125, # swap rates
                 s3y = 0.0398,
                 s5y = 0.0443,
                 s10y = 0.05165,
                 s15y = 0.055175)

# "times"	
# A vector of times at which to return the discount factors, forward rates, and zero rates. Times must be specified such that the largest time plus dt does not exceed the longest maturity of the instruments used for calibration (no extrapolation).
times <- seq(0, 10, .1)


# Loglinear interpolation of discount factors
curves <- DiscountCurve(params, tsQuotes, times)
plot(curves)

# Linear interpolation of discount factors
params$interpHow = "linear"
curves <- DiscountCurve(params, tsQuotes, times)
plot(curves)

# Spline interpolation of discount factors
params$interpHow = "spline"
curves <- DiscountCurve(params, tsQuotes, times)
plot(curves)

###################################################
# Reference for parameters when constructing a bond
?Enum

# DayCounter	
# 0	 Actual360
# 1	 Actual360FixEd
# 2	 ActualActual
# 3	 ActualBusiness252
# 4	 OneDayCounter
# 5	 SimpleDayCounter
# 6	 Thirty360
# 7	 Actual365NoLeap
# 8	 ActualActual.ISMA
# 9	 ActualActual.Bond
# 10	 ActualActual.ISDA
# 11	 ActualActual.Historical
# 12	 ActualActual.AFB
# anything else	 ActualActual.Euro

# businessDayConvention	
# 0	 Following
# 1	 ModifiedFollowing
# 2	 Preceding
# 3	 ModifiedPreceding
# anything else	 UNadjusted

# compounding	
# 0	 Simple
# 1	 Compounded
# 2	 Continuous
# 3	 SimpleThenCompounded

# period or frequency	
# -1	 NoFrequency
# 0	 Once
# 1	 Annual
# 2	 Semiannual
# 3	 EveryFourthMonth
# 4	 Quarterly
# 6	 BiMonthtly
# 12	 Monthly
# 13	 EveryFourthWeek
# 26	 BiWeekly
# 52	 Weekly
# 365	 Daily
# anything else	 OtherFrequency

# date generation	
# specify date generation rule
# 0	 Backward
# 1	 Forward
# 2	 Zero
# 3	 ThirdWednesday
# 4	 Twentieth
# anything else	 TwentiethIMM

# durationType	
# specify duration type
# 0	 Simple
# 1	 Macaulay
# 2	 Modified