fixedincome-package: Fixed income models, calculations and data structures

In wilsonfreitas/R-fixedincome: Fixed Income Models, Calculations, Data Structures and Instruments

Fixed income models, calculations and data structures

Description

The fixedincome package brings a set of funtions that helps with the mathematics of interest rates and fixed income. It handles the interest rates and term structures of interest rates as objects and provides many methods to tackle specific issues like computing discount factors and forward rates, interpolate term structures, fit curve models and so much more. This package also supports methods and models commonly used by practitioners to do fixed income calculations.

Author(s)

Wilson Freitas [e-mail]

References

Frank Fabozzi. Fixed Income Mathematics, Wiley, 1994.

Bruce Tuckman. Fixed Income Securities, Wiley, 1994.

wilsonfreitas/R-fixedincome documentation built on June 30, 2023, 7:46 a.m.