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price instruments using functions -凯发k8网页登录

price interest-rate, equity, commodity, foreign exchange, credit derivative instruments, mortgage-backed securities using functions

financial instruments provides functions for pricing, modeling, hedging, and analyzing cash flows, fixed-income securities, and derivative instruments (including equity, interest-rate, credit, and energy instruments). for interest-rate instruments, you can calculate price, yield, spread, and sensitivity values for various instrument types, including convertible bonds, mortgage-backed securities, treasury bills, bonds, swaps, caps, floors, and floating-rate notes. for derivative instruments, you can compute price, implied volatility, and greeks using binomial trees, trinomial trees, shifted sabr, heston, monte carlo simulation, and other models.

categories


  • bootstrap yield curves from market data, estimate parameters for yield curve models, simulate yield curves from historical data

  • interest-rate instruments price, sensitivities, and term structure

  • equity options price and sensitivities

  • energy options price and sensitivities

  • credit default swap pricing and default probability curve, counterparty credit risk exposures

  • mortgage pass-through cash flows, cmo instrument pricing
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