Black-Litterman Model

This post gives a derivation of the Black-Litterman (BL) model. BL model is a bespoke tactical asset allocation model incorporating investor's view for tilting market equilibrium weights.

Loan Amortization Schedule using R code

This post explains and implements major three types of loan amortization or repayment schedule using R code: 1) bullet or balloon payment, 2) equal total payment, and 3) equal principal payment.

Calculation of Key Rate Durations using R code

This post explains how to calculate the key rate durations (KRD). Ho (1992) introduces KRD to measure non-parallel movements of the yield curve that the existing duration measures can not describe as these are defined under the assumption of a parallel shift of the yield curve.