QuantBondCurves (Q5977701): Difference between revisions
From MaRDI portal
Changed an Item |
Added link to MaRDI item. |
||
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