QuantBondCurves (Q5977701): Difference between revisions
From MaRDI portal
Removed claims |
Added link to MaRDI item. |
||
(2 intermediate revisions by 2 users not shown) | |||
Property / programmed in | |||
Property / programmed in: R / rank | |||
Normal rank | |||
Property / depends on software | |||
Property / depends on software: R / rank | |||
Normal rank | |||
Property / depends on software: R / qualifier | |||
software version identifier: ≥ 3.5.0 | |||
Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI software profile / rank | |||
Normal rank | |||
links / mardi / name | links / mardi / name | ||
Latest revision as of 20:10, 12 March 2024
Calculates Bond Values and Interest Rate Curves for Finance
Language | Label | Description | Also known as |
---|---|---|---|
English | QuantBondCurves |
Calculates Bond Values and Interest Rate Curves for Finance |
Statements
Values different types of assets and calibrates discount curves for quantitative financial analysis. It covers fixed coupon assets, floating note assets, interest and cross currency swaps with different payment frequencies. Enables the calibration of spot, instantaneous forward and basis curves, making it a powerful tool for accurate and flexible bond valuation and curve generation. The valuation and calibration techniques presented here are consistent with industry standards and incorporates author's own calculations. Tuckman, B., Serrat, A. (2022, ISBN: 978-1-119-83555-4).
0 references
20 January 2024
0 references