QuantBondCurves

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Software:5977701



CRANQuantBondCurvesMaRDI QIDQ5977701

Calculates Bond Values and Interest Rate Curves for Finance

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

Last update: 20 January 2024

Software version identifier: 0.1.0, 0.2.0


Copyright license: GNU General Public License

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).