Yield Curve Builder

yield curve builder

The Yield Curve Builder is a flexible, robust, Excel based .NET/XML solution for constructing swap, treasury, spread, FX basis and OIS curves. Yield Curve Builder is designed to facilitate all curve construction functionality required for pricing, risk management and valuation activities by traders, risk managers, portfolio managers and product controllers. Readily customizable, the Yield Curve Builder comes with ready-to-use, pre-defined templates based upon standard market conventions for the following trading currencies:

  • US Dollar
  • Eurodollar
  • British Pound
  • Canadian Dollar
  • Japanese Yen
  • Hong Kong Dollar
  • Australian Dollar
  • Brazilian Real

Users may easily add additional trading currencies and/or create new/custom yield curves and are free to incorporate in-house developed or third party analytics for use in curve construction.

Users can easily share yield curves and other objects for consistent pricing and cost savings.

The Yield Curve Builder has been designed to facilitate all functionality required for pricing, risk management and valuation activities by traders, risk managers, portfolio managers and product controllers.

Yield Curve Builder Overview Video

Yield Curve Overview Video

 

Template Based

The fundamental building block in the Yield Curve Builder is the template. A template defines properties and behavior of each individual object.

The Yield Curve Builder has two template classes:

  • Market Instrument Template specifies the features and parameters of the instruments used in curve construction
  • Yield Curve Template defines curve conventions and methodologies

Users may modify any of the pre-defined templates provided with the Yield Curve Builder or create new ones.

 

Yield Curve Builder

Output

Generated yield curves can easily be forwarded and shared within an organization.

Yield Curve Builder outputs includes curve pillar dates with the corresponding spot rates, discount factors and forward rates (generated in accordance with user-specified tenors). The Yield Curve Builder also includes functions that let users retrieve curve outputs for any specified curve date.

Test Drive the Yield Curve Builder


Yield curve constructor

Analytical Tools

The Yield Curve Builder includes a suite of yield curve based analytical tools.

  • Analytical spreadsheets include
    • Cash flow analysis
    • Yield curve shift verification, and an
    • Interest rate swap pricer/analyzer
  • Calendar Analytics, is a suite of
    • Analytical functions for quickly identifying relevant business/trading day, and for
    • Building strips of expiry dates for a multi-cash flow instruments
  • Yield Curve Builder also includes a robust suite of functions for retrieving, analyzing and utilizing yield curve input/output parameters.

 

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