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| Curve Building and Manipulation |
 |
| dfcurve |
construct a discount factor curve |
| crvdirect |
put user-specified curve data into swap @nalyst format |
| crvfwd |
convert to a forward rate curve |
| crvspot |
convert to a forward spot curve |
| crvdf |
convert to a discount factor curve |
| crvprint |
print a curve |
| crvgetdf |
obtain discount factors |
| crvgetrate |
obtain rates from curve |
| crvperiod |
create periodic discount factor curve |
| crvinsert |
insert dates into discount factor curve |
| crvshift |
shift term structure |
| crvshiftw |
shift window in term structure |
| crvpivot |
pivot the term structure |
| fraprice |
price of a forward rate agreement |
| Curve-based bond functions |
|
| bpr2 |
bond price given discount curve |
| bspread |
spread over yield curve |
| bcspread |
coupon spread over yield curve |
| bradypr2 |
Brady bond price given discount curves |
| bradysprd |
sovereign spread of a Brady bond |
| fbradypr |
floating rate Brady bond price |
| fbradysprd |
sovereign spread of floating rate Brady
bonds |
| Swaps |
|
| swapcustom |
price a custom swap |
| swaptemplate,
swaptemplnp, swaptemplo* |
produce a swap leg suitable for customizing |
| swapleg,
swaplego* |
price a leg of a swap |
| simpleswap,
simpleswapo* |
price a simple swap |
| fxswap, fxswapo* |
price a cross-currency swap |
| impliedswap |
implied margin to give swap a specific PV |
| implsimpswap,
implsimpswapo* |
implied margin to give swap a PV of zero |
| implfxswap,
implfxswapo* |
implied margin to give FX swap a PV of zero |
*in beta test |
Swap @nalyst also comes with TechHackers' date, business date, and conversion functions.
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