Server-side Bond and Interest Rate Swap Calculator Case Study
About 2 min
Server-side Bond and Interest Rate Swap Calculator Case Study
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Server-side bond object construction and related functions for calculating yield, clean price, dirty price, duration, convexity, spread, and other metrics; server-side interest rate swap object construction, fixed-leg analysis, floating-leg analysis, and swap result analysis.
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Server-Side Construction of Bond Objects and Interest Rate Swap Objects Using Bond Codes and Structure Abbreviations, Along with Application Function Descriptions
1. Server-side bond object construction and function to retrieve the latest transaction price
- McpFixedRateBonds2：Constructor function for the server-side bond object。
- McpGet1：The server retrieves the latest transaction price for the specified bond code。
2. 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.
3. 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.
4. PVBP Calculation Functions
- FrbPVBPCHN：Calculates the PVBP (Price Value of a Basis Point) based on the FixedRateBond object and yield.
5. Yield Calculation Functions
- FrbYieldFromDirtyPriceCHN：Calculates the yield based on the FixedRateBond object and dirty price.
6.Server-side Interest Rate Swap Object Constructor
- McpVanillaSwaps2：The server implements a VanillaSwap object via an IRS (Interest Rate Swap) framework.
7. Fixed Leg Analysis Functions
- SwapFixedLegAnnuity：Calculates the annuity.
- SwapFixedLegDuration：Calculates the duration.
- SwapFixedLegMDuration：Calculates the modified duration.
- SwapFixedLegNPV：Calculates the net present value (NPV).
- SwapFixedLegDV01：Calculates the DV01.
- SwapFixedLegPremium：Calculates the premium.
- SwapFixedLegAccrued：Calculates the accrued interest.
- SwapFixedLegMarketValue：Calculates the market value.
8. Floating Leg Analysis Functions
- SwapFloatingLegAnnuity：Calculates the annuity.
- SwapFloatingLegDuration：Calculates the duration.
- SwapFloatingLegMDuration：Calculates the modified duration.
- SwapFloatingLegNPV：Calculates the net present value (NPV).
- SwapFloatingLegDV01：Calculates the DV01.
- SwapFloatingLegPremium：Calculates the premium.
- SwapFloatingLegAccrued：Calculates the accrued interest.
- SwapFloatingLegMarketValue：Calculates the market value.
9. Swap Result Functions
- SwapNPV： Calculates the net present value (NPV).
- SwapMarketParRate：Calculates the Par Rate/Yield.
- SwapDuration：Calculates the duration.
- SwapMDuration：Calculates the modified duration.
- SwapPV01：Calculates the PVBP.
- SwapDV01：Calculates the DV01.
- SwapMarketValue：Calculates the market value.
- SwapAccrued：Calculates the accrued interest.
10. Pricing Functions
- SwapFixedLegs：Calculates the fixed leg cash flows.
- SwapFloatingLegs：Calculates the floating leg cash flows.
11. Fixing Frequency and Fixing Price Functions
- SwapFloatingQuotes：Calculates the floating leg fixing frequency and fixing price.
- SwapFloatingQuoteLegs：Calculates the floating leg fixing frequency and fixing price.