This course is a practical introduction to fixed income securities and interest rate derivatives. In particular, we will cover such things as yields & discount factors; spot & forward rates, curve fitting (bootstrapping & Nelson Siegel), bond pricing, pricing of certain cash flows, duration, convexity, key rate duration, hedging & immunization, interest rate forwards, futures & swaps, models of the short rate (Vasicek, Hull White), interest rate tree methods (Ho Lee, BDT), pricing interest rate derivatives (swaptions), credit risk, credit spreads, Black-Scholes-Merton/KMV style default risk etc. The focus will generally be on applications and implementations of models in the R language as opposed to theoretical considerations and derivations.