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Fixed Income

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Analyzing Financial Data and Implementing Financial Models Using R

Part of the book series: Springer Texts in Business and Economics ((STBE))

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Abstract

This chapter covers fixed income securities. We first show how to analyze economic and fixed income market data. Then, we demonstrate how to implement basic fixed income valuation models as well as the calculation of duration and convexity. We end the chapter with a discussion of the Vasicek and Cox, Ingersoll, and Ross interest rate models.

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References

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Authors and Affiliations

  1. Compass Lexecon, Oakland, CA, USA

    Clifford S. Ang

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  1. Clifford S. Ang
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© 2021 The Author(s), under exclusive license to Springer Nature Switzerland AG

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Ang, C.S. (2021). Fixed Income. In: Analyzing Financial Data and Implementing Financial Models Using R. Springer Texts in Business and Economics. Springer, Cham. https://doi.org/10.1007/978-3-030-64155-9_9

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  • DOI: https://doi.org/10.1007/978-3-030-64155-9_9

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  • Publisher Name: Springer, Cham

  • Print ISBN: 978-3-030-64154-2

  • Online ISBN: 978-3-030-64155-9

  • eBook Packages: Computer ScienceComputer Science (R0)

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