Book Image

Introduction to R for Quantitative Finance

Book Image

Introduction to R for Quantitative Finance

Overview of this book

Introduction to R for Quantitative Finance will show you how to solve real-world quantitative fi nance problems using the statistical computing language R. The book covers diverse topics ranging from time series analysis to fi nancial networks. Each chapter briefl y presents the theory behind specific concepts and deals with solving a diverse range of problems using R with the help of practical examples.This book will be your guide on how to use and master R in order to solve quantitative finance problems. This book covers the essentials of quantitative finance, taking you through a number of clear and practical examples in R that will not only help you to understand the theory, but how to effectively deal with your own real-life problems.Starting with time series analysis, you will also learn how to optimize portfolios and how asset pricing models work. The book then covers fixed income securities and derivatives such as credit risk management.
Table of Contents (17 chapters)
Introduction to R for Quantitative Finance
Credits
About the Authors
About the Reviewers
www.PacktPub.com
Preface
Index

Chapter 5. Estimating the Term Structure of Interest Rates

In the previous chapter we discussed how changes in the level of interest rates, the term structure, affect the prices of fixed income securities. Now we focus on the estimation of the term structure of interest rates, which is a fundamental concept in finance. It is an important input in almost all financial decisions. This chapter will introduce term structure estimation methods by cubic spline regression, and it will demonstrate how one can estimate the term structure of interest rates using the termstrc package and the govbonds dataset.