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Fixed Income Analytics Library

Fixed Income Analytics Library contains the Valuation and Risk Functionality of the Principal Asset Classes, i.e., Equity, Rates, Credit, FX, Commodity, and their Hybrids.

Documentation

Document Link
Technical Specification Latest Previous
User Guide
API Javadoc

Component Projects

  • Analytics => Date, Cash Flow, and Cash Flow Period Measure Generation Utilities.
  • Dynamics => HJM, Hull-White, LMM, and SABR Dynamic Evolution Models.
  • Market => Static Market Fields - the Definitions, the OTC/Exchange Traded Products, and the Treasury Settings.
  • Param => Core Suite of Parameters - Product Cash Flow, Valuation, Market, Pricing, and Quoting Parameters.
  • Pricer => Custom Pricing Algorithms and the Derivative Fokker Planck Trajectory Generators.
  • Product => Product Components/Baskets for Credit, FRA, FX, Govvie, Rates, and Option Asset Classes.
  • State => Latent State Inference and Creation Utilities.
  • Template => Pricing/Risk Templates for Fixed Income Products.

Coverage

  • Associations and Exchanges
    • Associations
    • Exchanges
  • Date Conventions
    • Day Count Conventions
    • Business Day Conventions
    • References
  • Overnight and IBOR Like Indexes
    • IBOR Indexes - Introduction
    • Main IBOR Indexes
    • Other IBOR Indexes
    • Overnight Index Definitions
    • Overnight Index Committees and Meeting Dates
  • Over the Counter Instruments
    • Forward Rate Agreements
    • Interest Rate Swaps
    • Vanilla IRS
    • Interest Rate Swaps (Basis Swaps: IBOR for IBOR)
    • Cross Currency Swaps: IBOR for IBOR
    • Constant Maturity Swaps
    • Swap Indexes
    • Overnight Index Swaps
    • Swaptions
    • Forex and Forward Swaps
  • Exchange Traded Instruments
    • Introduction
    • Overnight Futures
    • Short Term Interest Rate (STIR) Futures
    • Currency Specific Futures
    • Interest Rates Futures Option - Premium
    • Interest Rates Futures Option - Margin
    • Bank Bill Futures - AUD Style
    • Deliverable Swap (IRS) Futures - PV Quoted
    • Bond Futures (non AUD/NZD)
    • Country-specific Bond Futures - USD
    • Country-specific Bond Futures - Germany
    • Country-specific Bond Futures - Spain
    • Country-specific Bond Futures - GBP
    • Country-specific Bond Futures - JPY
    • Options on Bond Futures (non AUD/NZD) - Premium
    • Options on Bond Futures (non AUD/NZD) - Margin
    • AUD-NZD Bond Futures
  • Treasury Futures Hedging and Trading
    • Introduction and Contract Detail Specifications
    • References
  • Identification of the CTD in the Basket
    • Motivation for the Conversion Factor
    • Illustration - Old vs. Active Treasury
    • Market Parameters Influencing the CTD Calculation
    • Impact of the Yield Curve Changes
    • References
  • Valuation of Treasury Futures Contract
    • Futures Contract and Mark to Market
    • Role of the Clearing Corporation
    • Delivery Options for the Underlying
    • Implied Repo Rate for Futures
    • Net Basis for Treasury Futures
    • References
  • Curve Builder Features
    • Overview
    • Discount Curves
    • References
  • Curve Construction Methodology
    • Approach
    • State Span Design Components
    • Curve Calibration from Instruments/Quotes
    • Calibration Considerations
    • References
  • Curve Construction Formulation
    • Introduction
    • Segment Linear Discount Curve Calibration
    • Curve Jacobian
    • References
  • Stream-based Calibration
    • Latent State Formulation Metric (LSFM)
    • Stream Inference Setup
    • Coupon Period Based Calibration Specification
    • Stream Based Calibration Specification
    • Calibration of Multi-Stream Components
  • Spanning Spline
    • Formulation and Setup
    • Challenges with the Spanning Spline Approach
    • References
  • Monotone Decreasing Splines
    • Motivation
    • Exponential Rational Basis Spline
    • Exponential Mixture Basis Set
    • References
  • Hagan West (2006) Smoothness Preserving Spanning Spline
    • Monotone and Convexity Preserving Estimators
    • Positivity Preserving Estimators
    • Ameliorating Estimator
    • Harmonic Spline Extension to the Framework Above
    • Minimal Quadratic Estimator
    • References
  • Extrapolation in Curve Construction
  • Multi-Pass Curve Construction
    • Motivation
    • Bear-Sterns Multi-Pass Curve Building Techniques
    • References
  • Transition Spline (or Stitching Spline)
    • Motivation
    • Stretch Modeling Using Transition Splines
    • Stretch Partition/Isolation in Transition Splines
    • Knot Insertion vs. Transition Splines
    • Overlapping Stretches
  • Penalizing Exact/Closeness of Fit and Curvature Penalty
    • Motivation
    • References
  • Index/Tenor Basis Swaps
    • Component Layout and Motivation
    • Formulation
    • References
  • Multi-Stretch Merged Curve Construction
    • Motivation
    • Merge Stretch Calibration
  • Latent State Manifest Measure Sensitivity
    • Introduction
    • Float-Float Manifest Measure Sensitivities
    • Multi-Reset Floating Period
  • OIS Valuation and Curve Construction
    • Base Framework and Environment Setup
    • OIS Valuation Extensions and Approximations
    • OIS-FX Basis Swap Valuation and Approximation
    • Arithmetic Accrual Convexity Correction
    • Composed Period Latent State Loadings
    • References
  • Spline Based Credit Curve Calibration
    • References
  • Correlated Multi-Curve Build-Out
    • Introduction
    • Standard FRA Setup
    • Standard FRA Options
    • No Arbitrage and Counter-party Risk Based FRA Formulation
    • Market FRA Setup
    • Futures
    • Multi-Curve Swap Valuation
    • References
  • Cross Currency Basis Swap
    • Product Details and Valuation
    • Building the CCS Discount Curve
    • Custom CCBS Based Discount Curve Construction SKU
    • Mark To Market Cross Currency Swap Valuation
    • Mark To Market Cross Currency Swap Valuation Formulation
    • Absolute/Relative MTM Application
    • Per-trade Risk Isolation Components
    • References
  • Convexity Correction Associated with Margining
  • Hedging Considerations
  • Product Curve Effect Attribution
    • Market Value Change Explain Componentsd
    • Coupon Accrual Intrinsic
    • Market Parameters Intrinsic
    • Market Parameters Extrinsic
    • Market Value Change Effects Formulation
  • Inference Based Curve Construction
    • Curve Smoothing in Finance
    • Bayesian Curve Calibration
    • Sequential Curve Estimation
    • References
  • Credit Analytics Bond RV Calculation Methodology
    • Introduction
    • The Bond RV Measure Set
    • Asset Swap Spread
    • Bond Basis
    • Convexity
    • Credit Basis
    • Discount Margin
    • Duration
    • DV01
    • G Spread
    • I Spread
    • Macaulay Duration
    • Modified Duration
    • Option Adjusted Spread
    • Par Asset Swap Spread
    • Par Spread
    • Par Equivalent CDS Spread (PECS)
    • Price
    • Spread Over Treasury Benchmark
    • Yield
    • Yield Basis
    • Yield Spread
    • Yield01
    • Zero Discount Margin (ZDM)
    • Zero (Z) Spread
    • Realtive Value Cross Metric Grid
    • Basic Measures
    • Some Trivial Closed Form Analytical Bond Math Results
  • Stochastic Calculus
    • Single Factor Stochastic Calculus
    • Multi-Factor Stochastic Calculus
    • Risk Neutral Pricing Framework
    • References
  • Black Scholes Methodology
    • Overview and Base Derivation
    • The Replication Technology
    • Capital Asset Pricing Model
    • Multi Numeraire Formulation
    • References
  • Log Normal Black Scholes Greeks
    • First Order Greeks
    • Second Order Greeks
    • Third Order Greeks
  • Black Scholes Extensions
    • Time Dependent Black Scholes
    • Local Volatility Models
    • Black Normal Model Specification and Dynamics
  • Options on Forward
    • Theoretical Framework and Background
    • Valuation
  • Stochastic Volatility Models: The Heston Model
    • Model Specification and Dynamics
    • Price Estimation Through Characteristic Functions
    • Fourier Inversion in Characteristic Function
    • References
  • Dynamical Latent State Calibration
    • Fokker Planck Equations
    • Volatility Observations vs. Calibration
    • References
  • HJM Model
    • Introduction
    • Formulation
    • Hull White from HJM
    • G2++ - A 2F HJM Model
    • HJM to LMM
    • HJM PCA
    • References
  • Hull White Model
    • Short Rate Formulation
    • Hull White Trinomial Tree
    • Construction of the Symmetric Trinomial Tree
    • Displacing the Nodes of the Trinomial Tree
    • References
  • Market Model of Interest Rate Dynamics
    • Problems with Conventional Market Practice
    • Nomenclature and Notation
    • References
  • The BGM Model
    • LIBOR Rate Dynamics
    • Relation to the HJM Dynamics
    • Existence, Uniqueness, and Regularity of the LIBOR Dynamics Solution
    • Upper/Lower Bounds for the LIBOR Rate
    • Invariant Measure for the LIBOR Rate
    • References
  • Application of BGM to Derivatives Pricing
    • Cap/Floor Pricing
    • Payer Swap Option Pricing
    • Payer Swap Option Pricing Simplification
    • Mismatched Period Cap/Swaption Pricing
    • Approximate vs. Full Simulation Comparisons
    • Typical Model Calibration Results
    • References
  • The SABR Model
    • Introduction
    • Parameter Estimation
    • Reference
  • LMM Calibration and Greeks Overview
    • Motivation for Robust LMM Calibration
    • Robust LMM Calibration Approaches Overview
    • Cross Currency LIBOR Market Model
    • LMM Based Greeks Calculation Approaches
    • References
  • LMM Extensions Overview and Literature
    • LMM Approach Advantages and Drawbacks
    • Major Extensions to the LMM
    • Derivatives Fair Value Pricing Challenge
    • Hedging the Derivatives Cash Flow
    • Basic LMM and its Calibration
    • LMM Skew and its Calibration
    • LMM Smile and its Calibration
    • Cross Currency Extensions to LMM
    • LMM Monte Carlo Methods and Greeks
    • Numerical Methods for LMM Calibration
    • LMM Calibration and Greeks - Results
    • First Generation LMM Treatment Literature
    • Smile Extensions to the LMM
    • Numerical Methods in Calibration/Greeks
    • Object Based Financial Valuation Models
    • References
  • Algorithmic Differentiation
    • Glossary
    • Overview
    • Algorithmic Differentiation in Finance
    • References
  • Algorithmic Differentiation - Basics
    • Motivation and Advantages
    • Program Sequence Construction Modes
    • Canonicalization - Program Statements Simplification by Decomposition
    • Challenges of Automating the Differentiation
    • Wengert Representation and Optimal Program Structure Synthesis
    • Optimization using Pre-accumulation and Check-pointing
    • Algorithmic Differentiation Financial Application Space Customization
    • References
  • Sensitivity Generation During Curve Construction
    • Introduction
    • Curve Jacobian
  • Stochastic Entity Evolution
    • Stochastic Entity Evolution - Sensitivity Formulation
    • Sensitivities to Stochastic State Variates and Dynamical Parameters
    • Stochastic Variate Evolution Constrained by Splines
    • Formulation of the Evolution of Stochastic Variate Self-Jacobian
    • Correlated Stochastic Variables Evolution
    • LMM Forward Rate Evolution
    • References
  • Formulation of Sensitivities for Pay-off Functions
    • Formulation of Pay-off Function Stochastic Evolution
    • Path Greek
    • Path Sensitivity to the Correlation Matrix
    • Algorithmic Differentiation in Payoff Sensitivities Calculation
    • References
  • Bermudan Swap Option Sensitivities
    • Base Formulation
    • Greek Estimation
    • LSM Methodology
    • References
  • Basket Sensitivities
    • NTD Product Formulation
    • Basket Options
    • References
  • Leibnitz Integral Rule

DROP Specifications