Bond Yield Curve Construction and Related Calculations Case Study
About 2 min
Bond Yield Curve Construction and Related Calculations Case Study
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The Bond Yield Curve Construction and Related Calculations template provides functions for holiday management, BondCurve construction, FixedRateBondCurve object creation, parameter curve construction, yield-to-price conversion, and calculation of metrics such as duration, convexity, and spread.
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Bond Yield Curve Construction and Related Calculations Template: Function Descriptions
1. Holiday Calendar Construction Functions
- McpCalendar: Constructs a holiday calendar object for one or more currency pairs.
- McpNCalendar: Constructs a holiday calendar object for multiple currencies.
2. FixedRateBondCurve Construction Functions
- McpFixedRateBondCurveData: Constructs a FixedRateBondCurve object.
3. BondCurve Construction Functions
- McpBondCurve2: Constructs a BondCurve object.
4. Curve Calibration Construction Functions
- McpCalibrationSet: Constructs a calibration set for storing different products (e.g., Depo, Swap, Bond) during curve calibration.
5. Parametric Curve Construction Functions
- McpParametricCurve: Constructs parametric curves such as NSS, NS, and CIR.
6. Zero-Coupon Rate Functions
- YieldCurveZeroRate: Retrieves the zero-coupon rate for a given maturity date from the curve.
7. FixedRateBond Construction Functions
- McpFixedRateBond: Constructs a FixedRateBond object.
8. Price Calculation Functions
- FrbCleanPriceFromYieldCHN: Calculates the clean price based on the FixedRateBond object and yield.
- FrbDirtyPriceFromYieldCHN: Calculates the dirty price based on the FixedRateBond object and yield.
- FrbPrice: Calculates the dirty price based on the FixedRateBond object and BondCurve object.
9. Duration and Convexity Calculation Functions
- FrbDurationCHN: Calculates the Macaulay duration based on the FixedRateBond object and yield.
- FrbMDurationCHN: Calculates the modified duration based on the FixedRateBond object and yield.
- FrbConvexityCHN: Calculates the convexity based on the FixedRateBond object and yield.
10. PVBP Calculation Functions
- FrbPVBPCHN: Calculates the PVBP (Price Value of a Basis Point) based on the FixedRateBond object and yield.
11. Yield Calculation Functions
- FrbYieldFromDirtyPriceCHN: Calculates the yield based on the FixedRateBond object and dirty price.
12. Fair Value Calculation Functions
- FrbFairValue: Calculates the fair value (yield) based on the FixedRateBond object and BondCurve object.
13. Spread Calculation Functions
- FrbGSpread: Calculates the G-Spread.
- FrbZSpread: Calculates the Z-Spread.