Book Image

Learning Quantitative Finance with R

By : Dr. Param Jeet, PRASHANT VATS
Book Image

Learning Quantitative Finance with R

By: Dr. Param Jeet, PRASHANT VATS

Overview of this book

The role of a quantitative analyst is very challenging, yet lucrative, so there is a lot of competition for the role in top-tier organizations and investment banks. This book is your go-to resource if you want to equip yourself with the skills required to tackle any real-world problem in quantitative finance using the popular R programming language. You'll start by getting an understanding of the basics of R and its relevance in the field of quantitative finance. Once you've built this foundation, we'll dive into the practicalities of building financial models in R. This will help you have a fair understanding of the topics as well as their implementation, as the authors have presented some use cases along with examples that are easy to understand and correlate. We'll also look at risk management and optimization techniques for algorithmic trading. Finally, the book will explain some advanced concepts, such as trading using machine learning, optimizations, exotic options, and hedging. By the end of this book, you will have a firm grasp of the techniques required to implement basic quantitative finance models in R.
Table of Contents (16 chapters)
Learning Quantitative Finance with R
Credits
About the Authors
About the Reviewer
www.PacktPub.com
Customer Feedback
Preface

Bond pricing


Bonds are very important financial instruments as they provide cash flow at a certain time at the predetermined rate or current market rate. Bonds help investors to create well-diversified portfolios. One must calculate bond price, yield, and maturity precisely to get a better idea of the instrument. We are going to use package termstrc for this. We have to install and load it into the R workspace using the following code:

> install.packages('termstrc') 
> library('termstrc') 

We will use the data govtbonds in the package, which can be loaded and viewed using the following code:

> data(govbonds) 
> govbonds 
This is a data set of coupon bonds for: 
GERMANY AUSTRIA FRANCE ,  
observed at 2008-01-30. 

The variable govbonds has bond data for three countries - Germany, Austria, and France. We will be using the Germany data to calculate bond prices, which can be accessed using govbonds[[1]]. The following two lines of code generate cashflow and maturity matrix:

> cashflow...