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Learning Quantitative Finance with R

You're reading from Learning Quantitative Finance with R

Product type Book

Published in Mar 2017

Publisher Packt

ISBN-13 9781786462411

Pages 284 pages

Edition 1st Edition

Languages

Concepts

Financial Technology

Authors (2):

Dr. Param Jeet

PRASHANT VATS

View More author details

Table of Contents (16) Chapters

Learning Quantitative Finance with R

Credits

About the Authors

About the Reviewer

www.PacktPub.com

Customer Feedback

Preface

1. Introduction to R

2. Statistical Modeling

3. Econometric and Wavelet Analysis

4. Time Series Modeling

5. Algorithmic Trading

6. Trading Using Machine Learning

7. Risk Management

8. Optimization

9. Derivative Pricing

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

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Authors (2)

Dr. Param Jeet

Dr. Param Jeet is a Ph.D. in mathematics from one of India's leading technological institute in Madras (IITM), India. Dr. Param Jeet has a couple of mathematical research papers published in various international journals. Dr. Param Jeet has been into the analytics industry for the last few years and has worked with various leading multinational companies as well as consulted few of companies as a data scientist.

See other products by Dr. Param Jeet

PRASHANT VATS

Prashant Vats is a masters in mathematics from one of India's leading technological institute, IIT Mumbai. Prashant has been into analytics industry for more than 10 years and has worked with various leading multinational companies as well as consulted few of companies as data scientist across several domain.

See other products by PRASHANT VATS

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