CurvePlus™

Fast, flexible yield curve analytics

Build constant maturity par yield curve, given a set of bullet bond terms and prices/yields
Build spread curve, given benchmark par yield curve and set of bullet bond terms and prices/yields
Compute price and yield of bullet bond, given a par yield curve, spread curve (optional), and bond terms
Determine coupon of bullet bond, given par yield curve, spread curve (optional), bond price or yield, and bond 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

Or call 212-482-0900