bond-pricing-relative-value

There are 1 repository under bond-pricing-relative-value topic.

• lakshmiDRIP / DROP-Fixed-Income

  DRIP Fixed Income is a collection of Java libraries for Instrument/Trading Conventions, Treasury Futures/Options, Funding/Forward/Overnight Curves, Multi-Curve Construction/Valuation, Collateral Valuation and XVA Metric Generation, Calibration and Hedge Attributions, Statistical Curve Construction, Bond RV Metrics, Stochastic Evolution and Option Pricing, Interest Rate Dynamics and Option Pricing, LMM Extensions/Calibrations/Greeks, Algorithmic Differentiation, and Asset Backed Models and Analytics.

  fixed-incomeinstruments-trading-conventiontreasury-futures-optionsfunding-curveforward-curvelibor-curveois-curveovernight-curvemulti-curvecollateral-curveposition-horizon-analyzerstatistical-curve-constructionbond-pricing-relative-valueinterest-rate-productscva-dva-fva-kva-xvainterest-rate-optionsstochastic-volatility-modelslmm-calibration-greeksalgorithmic-differentiationasset-backed
  Language:HTML 28

• SunilVeeravalli / Bond-valuations

  Computation of bond value

  bondsbondbond-yieldyieldyield-estimationmaturitybond-maturitycurrent-yieldbond-pricingbond-pricing-relative-valuebond-current-yieldbond-ytmbond-yield-to-maturityyield-to-maturitybond-fair-valuebond-valuations
  Language:Python 11

• pontazaricardo / Finance_RelativeChange

  This is a small program that shows how to calculate an n-year spot rate if the n-year zero-coupon bond price moves from q% to (1+k%) *q%, where q% is the quoted price.

  financezero-couponbondspricerelative-changebond-pricingbond-pricing-relative-value
  Language:MATLAB 1