PRODUCT INFORMATIONThere are thirteen applications in this section for pricing fixed income securities. The descriptions in this section are brief. Click on the respective application link button to get to the application site, then click on the valuation procedure link for more details.
Interest rate modelling and bond valuation. This application models the future evolution of the short-rate using a trinomial tree, calibrates it so that it matches the current yield curve exactly, then uses the generated interest-rate-tree rates to calculate the no-arbitrage price of the fixed-rate bond.
Zero volatility pricing approach bond valuation. This application prices the fixed-rate bond using the zero-volatility pricing approach by simply discounting the bond cash-flows using the current yield-curve.
Callable bond valuation. This application models the future evolution of the short-rate using a trinomial tree, calibrates it so that it matches the current yield curve exactly, then uses the generated interest-rate-tree rates to calculate the no-arbitrage price of the callable bond.
Puttable bond valuation. This application models the future evolution of the short-rate using a trinomial tree, calibrates it so that it matches the current yield curve exactly, then uses the generated interest-rate-tree rates to calculate the no-arbitrage price of the puttable bond.
Vanilla interest rate swap valuation. This application values a vanilla interest rate swap. It allows customisation to price various other swaps such as step-up swaps, amortising swaps, etc, to match different draw-down patterns.
Vanilla interest rate swap zero cost swap rate. This application uses iteration to calculate the zero cost swap rate of the preceding vanilla interest rate swap.
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Fixed-for-fixed currency swap valuation. This application values a swap to exchange fixed domestic rate for fixed foreign rate. It allows customisation to match different draw-down patterns.
Fixed-for-fixed currency swap zero-cost-domestic-swap-rate. This application uses iteration to calculate the zero-cost-domestic-swap-rate for a fixed-for-fixed currency swap.
Fixed-for-fixed currency swap zero-cost-foreign-swap-rate. This application uses iteration to calculate the zero-cost-foreign-swap-rate for a fixed-for-fixed currency swap.
Fixed-domestic-rate cross currency swap valuation. This application values a swap to exchange fixed domestic rate for floating foreign rate. It allows customisation to match different draw-down patterns.
Fixed-foreign-rate cross currency swap valuation. This application values a swap to exchange fixed foreign rate for floating domestic rate. It allows customisation to match different draw-down patterns.
Floating-for-floating currency swap valuation. This application values a swap to exchange floating domestic rate for floating foreign rate. It allows customisation to match different draw-down patterns.
General loan schedule. This application calculates the schedule of payments on a fixed-rate loan.
