curve-construction
Comprehensive methodology for building all curve types required for bond pricing analytics. Use when implementing: (1) OIS-based discount curves (SOFR, SONIA, €STR), (2) Government yield curves from bond prices, (3) Multi-curve projection frameworks, (4) Cross-currency basis curves, (5) Credit/spread curves (Z-spread, OAS, CDS hazard rates), (6) Inflation-linked curves (TIPS, breakeven inflation), (7) Repo/financing curves, (8) Parametric models (Nelson-Siegel, Svensson). Covers bootstrapping algorithms, interpolation methods, spread calculations, and numerical optimization for high-performance curve construction in quantitative finance libraries.
Installation
Suivez les instructions du dépôt pour votre agent. Consultez les fichiers et dépendances avant l’installation.
Voir la source ↗GuidesInstructions
Fonctions et usage
Comprehensive methodology for building all curve types required for bond pricing analytics. Use when implementing: (1) OIS-based discount curves (SOFR, SONIA, €STR), (2) Government yield curves from bond prices, (3) Multi-curve projection frameworks, (4) Cross-currency basis curves, (5) Credit/spread curves (Z-spread, OAS, CDS hazard rates), (6) Inflation-linked curves (TIPS, breakeven inflation), (7) Repo/financing curves, (8) Parametric models (Nelson-Siegel, Svensson). Covers bootstrapping algorithms, interpolation methods, spread calculations, and numerical optimization for high-performance curve construction in quantitative finance libraries.
Démarrage rapide
Suivez les instructions du dépôt pour votre agent. Consultez les fichiers et dépendances avant l’installation.
Guides ↗Exemples
Consultez les exemples du dépôt source.
Voir la source ↗Historique source
- Date d’indexation
- 2026-01-20
- Mise à jour de l’index
- 2026-02-06
- Branch
- main
Les dates concernent ce répertoire. Consultez le dépôt pour l’historique du code.
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