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

In wilsonfreitas/R-fixedincome: Fixed income models, calculations, data structures and instruments

Description

fixedincome has a set of funtions which helps with the mathematics of interest rates and fixed income. It handles the interest rates and compounding factors as objects and provides many methods to tackle specific issues like compute discount factors, find equivalent rates, forward rates, and so on. It also has classes to represent commom fixed income entities such as a term structure of interest rates, spot rates and day count rules. This package also supports methods and models commom 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 May 4, 2019, 6:28 a.m.