Publisher review:Bonds for .NET - General Interest derivatives pricing framework: set contract, set vol/price/interest models and run MC. General Interest derivatives pricing framework: set contract, set vol/price/interest models and run MC. We also cover: Treasury's, Price/Yield, Zero Curve, Fixed-Interest bonds, Forward rates/FRAs, Duration and Convexity.
Product Details
WebCab Bonds implements the following functionality:
- General Interest Derivatives Pricing Framework - General Pricing Framework offers the following predefined Models and Contracts:
- Contracts: Asian Option, Binary Option, Cap, Coupon Bond, Floor, Forward Start stock option, Lookback Option, Ladder Option, Vanilla Swap, Vanilla Stock Option, Zero Coupon Bond, Barrier Option, Parisian Option, Parasian Option, Forward and Future.
- Interest Rate Models: Constant Spot Rate, Constant (in time) Yield curve, One factor stochastic models (Vasicek, Black-Derman-Toy (BDT), Ho & Lee, Hull and White), Two factor stochastic models (Breman & Schwartz, Fong & Vasicek, Longstaff & Schwartz), Cox-Ingersoll-Ross Equilibrium model, Spot rate model with automatic yield (Ho & Lee, Hull & White), Heath-Jarrow-Morton forward rate model, Brace-Gatarek-Musiela (BGM) LIBOR market model.
- Price Models: Constant price model, General deterministic price model, Lognormal price model, Poisson price model.
- Volatility Models: Constant Volatility Models, General Deterministic Volatility model, Hull & White Stochastic model of the Variance, Hoston Stochastic Volatility model.
Once the contract and the price/interest/vol model combination has been set you able to run the Monte CarloPricing Engine which allows:
- Evaluate Price: Evaluate price estimate accordance to number of iterations or maximum expected error
- Estimate Error: Evaluate the standard deviation of the price estimate, and the minimum/maximum expected price for a given confidence level.
Fundamental Theory of Bonds Price and Yield
- Pricing - Discounted cash flows model in accordance with the risk free interest rate. We include an implementation of the pricing market convention as offered within Excel's PRICE function and the DEC page of a Bloomberg Terminal.
- Yield to Maturity (YTM) - the YTM (also known as the Internal rate of Return (IRR) can be evaluated for any bond where the market price and the coupon payments until maturity are known. We include an implementation of the YTM market convention as offered within Excel's YIELD function and used within Bloomberg Terminals.
- Treasury Price - evaluate the price of a Treasury bond from the Treasury zero rates.
- Bond Yield - returns the yield of a Treasury bond when the price and coupons are known.
- Par Yield - we provide methods for calculating the Par Yield where the number of yearly payments and the annuity may vary.
Constructing the Zero Rate Curve - using the technique known as bootstrapping and linear interpolation we our able to construct the zero rate curve.
Forward Rates and FRAs
- Evaluation of Forward Rates - the forward rate for a given period can be evaluated from the zero rates at the start and end of that period.
- Forward Rate Agreements (FRAs) - we provide a method which shows to value of a FRA and the cash flows when the contract is settled.
Duration and Convexity
- Duration - the Duration of a bond, bond portfolio, interest rate future and the rescaling of Duration according to different interest compounding conventions.
- Duration based hedging - Duration-Hedge Ratio, Convexity and its use in hedging interest rate risk.
Bonds for .NET 2.01 is a ASP.NET script for E-Commerce scripts design by WebCab Components.
It runs on following operating system: Windows.
Bonds for .NET - General Interest derivatives pricing framework: set contract, set vol/price/interest models and run MC.
Operating system:Windows
Bonds for .NET 2.01 script details 
