List of Functions

Highlights

Curve Building and Manipulation
dfcurve	construct a discount factor curve
crvdirect	put user-specified curve data into iro @nalyst format
crvfwd	convert to a forward rate curve
crvspot	convert to a forward spot curve
crvdf	convert to a discount factor curve
crvprint	print a curve
crvgetdf	obtain discount factors
crvgetrate	obtain rates from curve
crvperiod	create periodic discount factor curve
crvinsert	insert dates into discount factor curve
crvshift	shift term structure
crvshiftw	shift window in term structure
crvpivot	pivot the term structure
fraprice	price of a forward rate agreement

Curve-based bond functions
bpr2	bond price given discount curve
bspread	spread over yield curve
bcspread	coupon spread over yield curve
bradypr2	Brady bond price given discount curves
bradysprd	sovereign spread of a Brady bond
fbradypr	floating rate Brady bond price
fbradysprd	sovereign spread of floating rate Brady bonds

Interest Rate Options
zeroopt	price of a zero-coupon bond option
zerosens	sensitivities for zero-coupon bond options
zeroimpv	implied volatility for zero-coupon bond options
capfloorlet	price of a caplet or floorlet
capfloorletsens	sensitivities for a caplet or floorlet
capfloorletimpv	implied volatility for caplets and floorlets
capfloor	price of a cap or floor
capfloorsens	sensitivities for a cap or floor
capfloorimpv	implied volatility for caps and floors
gcapfloorlet	price of a generalized caplet or floorlet
gcapfloorletsens	sensitivities for a generalized caplet or floorlet
gcapfloorletimpv	implied volatility for generalized caplets and floorlets
gcapfloor	price of a generalized cap or floor
gcapfloorsens	sensitivities for a generalized cap or floor
gcapfloorimpv	implied volatility for generalized caps and floors
irconth	price of a binary interest rate option
irconthsens	sensitivities for binary interest rate options
bdopt2	price of a European bond option
bdsens2	sensitivities for European bond options
bdimpv2	implied volatility for European bond options
bdopt3	price of an American/Bermudan bond option
bdsens3	sensitivities for American/Bermudan bond options
bdimpv3	implied volatility for American/Bermudan bond options

Swaptions
swaption	price a European swaption
swaptionsens	sensitivities for European swaptions
swaptionimpv	implied volatility for a European swaption
swaptionhw	price a Bermudan/European swaption
swaptnsenshw	sensitivities for Bermudan/European swaptions
swaptnimpvhw	implied volatility for a Bermudan/European swaption
swaptionfhw	price of a European, Bermudan, or American swaption on a forward starting swap
swaptnfsenshw	sensitivities of a European, Bermudan, or American swaption on a forward starting swap
swaptnfimpvhw	implied volatility for a European, Bermudan, or American swaption on a forward starting swap

Black-Derman-Toy Model
buildbdt	construct a BDT binomial tree
capcalbdt	cap calibration of the BDT tree
zeroopt_t	price a zero-coupon bond option using BDT
capfloorlet_t	price a caplet or floorlet using BDT
capfloor_t	price a cap or floor using BDT
THIswaption_t	price a European or Bermudan swaption using BDT
THIswaptnf_t	price a European or Bermudan swaption on a forward starting swap using BDT

IRO @nalyst also comes with TechHackers' date, business date, and conversion functions.