Yield Curve Builder

yield curve builder

The Yield Curve Builder builds a yield curve from a set of user defined input parameters and a series of user input cash and swap rates.

The Yield Curve Builder has three components: a parameter section, an input data section and an output data section.

Like all SciComp Consulting solutions the Yield Curve Builder can be enhanced/modified to meet any particular modeling needs you may have.


Parameters

The Parameter section of the Yield Curve Builder lets the user specify various curve construction and output parameters.


 

Input Data

The Input Data section lets the user specify the yield curve tenor points and the corresponding cash and swap rates to be used in constructing the curve.

 

Output Data

The Output Data section is comprised of the yield and a discount factor curves.

 

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