CurvePlus™

Description

CurvePlus™ is a flexible, fast, lightweight software library for working with yield curves.

Functionality

Build a constant maturity par yield curve, given a set of bullet bond terms and prices/yields
Build a spread curve, given a benchmark par yield curve and a set of bullet bond terms and prices/yields
Compute the price and yield of a bullet bond, given a par yield curve, spread curve (optional), and the bond’s terms
Determine the coupon of a bullet bond, given a par yield curve, spread curve (optional), the bond’s price or yield, and its terms
Convert between the following types of curves:
- Constant maturity par yield curve (consisting of discount bill yields and par bond yields)
- Swap curve (consisting of cash, futures, and swap rates)
- Spot curve (consisting of compounded zero coupon rates)
- Discount factor curve

Technical Specifications