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.

Analyze swaps.

• Price swaps, determine cash flows, or structure a swap to be valued at par.
• Swaps can have any number of legs, and can involve multiple currencies or multiple yield curves.
• Swaps can be specified concisely or each payment can be individually customized.
• Includes support for arrears swaps, rollercoaster swaps, and arbitrary fixed payments.

 

List of Functions