Category: Fixed Income

Computation / Derivatives / Financial / Fixed Income / VBA

object oriented VBA swaption pricing – part 2

As 2016 started, we wish you and your family a great year ahead. Happy New Year! This post is a continuation of our discussion on swap and VBA swaption pricing, and a conclusion…

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Computation / Derivatives / Financial / Fixed Income / VBA

object oriented VBA Swap pricing, Part 1

VBA and Quant finance This article is actually a first part of an introductory course to VBA coding, given at Solvay School of Economics in Feb. 2014. The Excel…

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Derivatives / Financial / Fixed Income

Cap & Floor pricing: stripping the basics

When comparing to other vanilla derivatives, Cap/Floor pricing offers an additional complexity, as it does not involve a single volatility number. Indeed a Cap/Floor can be broken down…

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Computation / Derivatives / Financial / Fixed Income / VBA

Cross Currency Swap Pricing with VBA

In a previous post we discussed the new paradigm of Swap pricing throughout the use of collateralization. We now propose a simple VBA code to price a Cross-Currency…

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C# / Computation / Financial / Fixed Income

Bond pricing in C# with QLNet and Excel-DNA

I had to perform some research on bond curves fitting methods recently, thus looking for a decent library to do some bond pricing (vanilla stuff: fixed coupon bonds …), and calibrate…

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Derivatives / Financial / Fixed Income

Multiple Curves: The new Paradigm of Swap Pricing, Part 2

Second part of our journey in the new Swap Curve construction framework. Tenor-Based Pricing Libor Fragmentation In the middle of the crisis we have seen a crucial change…

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Derivatives / Financial / Fixed Income

Multiple Curves: The new Paradigm of Swap pricing, Part 1

zc_curve_bootstrapping

Pretty much like in any Popperian scheme of trial and error, the Interest Rate Swap market has come to a new stage of its history. Since the theatric…

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Cross Asset / Derivatives / Financial / Fixed Income / Regulation

Ataraxia & Credit Valuation Adjustment (CVA) Part 1 (Updated !)

According to Stoic philosophy, ataraxia is the state of complete absence of trouble, where the sage becomes insensitive to any trouble and by extension to the volatility of…

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