Fixed Income

Clifford S. Ang
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Clifford S. Ang: Compass Lexecon

Chapter Chapter 9 in Analyzing Financial Data and Implementing Financial Models Using R, 2021, pp 265-327 from Springer

Abstract: 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.

Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sptchp:978-3-030-64155-9_9

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DOI: 10.1007/978-3-030-64155-9_9

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