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...
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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...
Bond yield convention implementation for the Convex pricing library. Use this skill when: (1) Implementing yield calculation methods (compounded, simple, discount, add-on) (2) Adding money market yield calculat...
Fixed income bond spread calculations with Bloomberg YAS parity. Implements Z-Spread, I-Spread, G-Spread, ASW (Asset Swap Spread), and OAS (Option-Adjusted Spread) for USD/EUR/GBP markets. Use when: (1) Calcula...
Fixed income risk analytics library for Bloomberg-parity bond calculations. Use when implementing: (1) DV01/PV01/duration calculations, (2) Convexity including negative convexity for callables, (3) Key rate dur...
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