QuantBondCurves

CRANQuantBondCurvesMaRDI QIDQ5977701FDOQ5977701

Calculates Bond Values and Interest Rate Curves for Finance

Quantil S.a.s, Andrés Galeano, Julián Rojas, Camilo Díaz

Last update: 20 January 2024

Copyright license: GNU General Public License

Software version identifier: 0.1.0, 0.2.0

Description

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).

This page was built for software: QuantBondCurves