Highlights:

Build, analyze, and alter models for the term structure of interest rates.

• Build term structure from market instruments such as cash rates, futures prices, and swap rates.
• Term structure can be represented as a zero-coupon yield curve, a zero-coupon discount curve, or a forward-rate curve.
• Extract rates and discount factors with several interpolation methods.
• Price FRA's and bonds; find a bond's spread over a yield curve; analyze Brady bonds.
• Shift and pivot interest rate term structure.

Pricing and sensitivity analysis of interest rate options.

• Caps, floors, options on zeros and coupon bonds, swaptions, and binary options.
• Most functions offer a choice of pricing model: Black, Ho-Lee, Hull-White and Black-Derman-Toy are currently supported.
• Implied volatility functions for all instruments.

 

List of Functions