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

Interest rate derivatives


We will use the GUIDE package to calculate the price for interest rate derivatives:

> install.packages("GUIDE") 
> library(GUIDE) 

The following command will open a pop-up window which requires all the parameters. Once you supply the required parameters in the pop-up window, it generates the interest rate derivative price:

>irswapvalue()

Parameters to be supplied in the pop-up window are as follows:

  • Notional: To be entered in decimals

  • Fixed rate: Entered in decimals, for example, 0.05 for 5%

  • Last spot rate: Entered in decimals, for example, 0.05 for 5 per cent

  • Months for first payment: Enter 3 for 3 months

  • Spot rates: Enter with comma separation, for example, 0.054, 0.056, 0.058

  • Frequency of spot rates: Chosen from continuous/quarterly/semi-annual/annual

  • Settlement frequency: Chosen from quarterly/semi-annual/annual