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. 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 add additional trading currencies and/or create new yield curves in accordance with commonly accepted market practices or custom approaches. In addition, users may utilize and incorporate in-house developed or third party analytics.

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.

Test Drive the Yield Curve Builder

Yield Curve Builder

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.


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.

 

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.

Yield Curve Portal

The Yield Curve Portal, scheduled for release in Q2 2016, will provide full yield curve construction functionality as described above as well as all required market data, in the cloud.

The portal will be available via a subscription service and will provide users a one-stop shopping approach with robust curve functionality that can be tailored to individual requirements.

No on-site applications to maintain, no paying for market data or unneeded analytics.

Simply sign up, specify the yield curves you want and your curve building preferences. Then, just sit back and receive the automatically constructed custom yield curves as .xml files with any frequency you desire.

Yield Curve Builder Overview Video

Yield Curve Overview Movie

 

Yield Curve Builder Features

  • A template based design that supports:
    • Yield curves for any trading currency; and
    • Commonly accepted market practices and custom approaches
  • In memory persistent curve objects can be edited/updated via Excel spreadsheets or through the management window
  • Ability to easily share yield curves amongst multiple users and different functional groups
  • Robust archive features and the ability to retrieve and restore yield curves
  • Full curve transparency and auditing capabilities
  • Compatibility with all major market data providers (e.g. Reuters, Bloomberg) or custom built databases
  • Multiple interpolation techniques for curve bootstrapping and rate interpolation
  • Users may expand curve functionality by calling internally developed or third party analytics as C++/C#/Java/Python libraries or as dlls

 

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