Fixed Income Analysis

Welcome to the Fixed Income Analysis repository! This collection of tools and scripts is designed to assist financial analysts, researchers, and enthusiasts in working with fixed income securities. Whether you are calculating bond prices, analysing yield curves or exploring interest rate scenarios, this toolkit provides a range of functionalities to streamline your fixed income analysis.

Features

Bond Pricing:

Utilise R scripts to calculate the price of fixed-rate bonds based on face value, coupon rate, yield to maturity, and compounding frequency:

https://github.com/vladislavpyatnitskiy/Fixed-Income-Analysis/tree/main/Bond%20Calculators

Yield Curve Analysis:

Visualise and analyse yield curves to gain insights into interest rate movements and their impact on fixed income portfolios.

Duration and Convexity:

Compute and understand the duration and convexity of bonds, crucial metrics for assessing interest rate risk.

Accounting Measures:

             NPV       IRR  Payback      MIRR
Blue   111.20480 0.1845246 3.416724 0.1570431
Red    176.59309 0.1170344 3.503125 0.0935682
Green  116.98654 0.3490343 2.352000 0.2342280
Yellow  48.50762 0.1302257 3.526533 0.1163082

Table 1. Comparison of Projects by Accounting Measures

More detailed info in wiki: https://github.com/vladislavpyatnitskiy/Fixed-Income-Analysis/wiki