Chapter 1 Introduction

This is the final project of Finn 6211, with the intention of getting comfortable with spot rate data, their relation to yield curve factors, and various hedging strategies.

The entire analysis, including the code and the report, can be found at https://github.com/DavisVaughan/final-project-book. An HTML version of the report is hosted at http://final-project-finn-6211.davisvaughan.com/, and may be preferable to the PDF version, which can be found at http://final-project-finn-6211.davisvaughan.com/final-project-book.pdf.

An R package has been created to accompany the report. It contains a number of helper functions for cleaning data, manipulating the time series, and creating the hedging strategies. The package is named ratekit and can be found on GitHub at https://github.com/DavisVaughan/ratekit.

The structure of the report is as follows. Chapter 2 is dedicated to retrieving and cleaning the data. Chapter 3 is focused on the calculation of features used in the questions. Chapters 4, 5, and 6 answer the three questions required in the report.

The code used to create the analysis is split into two places. In the R/ folder of the attached zip file are the files used for downloading the data, cleaning it, and creating the fixed income features. The actual analysis and answering of the questions is done inside the .Rmd files found in the top level of the zip file.

This report was written with bookdown, a book authoring package for R.