CurviLinear

Fast, flexible yield curve analytics

  • Builds constant maturity par yield curve, given a set of bond terms and prices/yields
    • Simultaneously solves for interest rate volatility when constructing best-fit municipal yield curves
  • Builds spread curve, given benchmark par yield curve and set of bond terms and prices/yields
  • Computes price and yield of bond, given a par yield curve, spread curve (optional), and bond terms
  • Determines coupon of bond, given par yield curve, spread curve (optional), bond price or yield, and bond terms
  • Converts 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