Fixed Income Analysis

Overview

Fixed Income analysis is a complex subject. The davinci library contains a number of differenct tool for analyzing cash flows from fixed income instruments. This corner goes through some simple examples.

Topics

• Fixed Income Instruments descriptions of various fixed income instruments, which includes securities such as fixed income derivatives (such as swaps, caps and floors) and structured securities
• Calculations - basic fixed income calculations
• Curves - a discussion of the calculation of interest rate curves and their interpretation
• Fixed Income Risk - risk associated with holding fixed incomse instruments, including interest rate and credit risk.
• Trading - elements of fixed income trading strategies.
• Fixed Income Attribution - attributing the changes in market value of a fixed income instrument to the underlying variables.
• Fixed Income Derivatives

Data

For information on fixed income data, please see interest rate data.