Yield Curve Builder
SciComp’s new Yield Curve Builder is a flexible, robust, Excel based .NET/XML solution for constructing swap, bond and spread curves. Employing a template-based design, the Yield Curve Builder provides users the ability to select either standard market or user-defined instruments for use in curve construction. The Yield Curve Builder includes ready-to-use, pre-defined yield curve templates based upon standard market conventions for the following trading currencies:
End users may add additional trading currencies and/or create new yield curves in accordance with commonly accepted market practices or custom approaches.
The Yield Curve Builder has been designed to facilitate all functionality required for pricing, valuation (P&L) and basis risk management activities by traders, risk managers, portfolio managers and product controllers.
The fundamental building block in the Yield Curve Builder is the template. Templates are used for (i) defining the features of the underlying market instruments used for curve construction (e.g., deposit instruments, futures, swaps, discount instruments and bonds); and (ii) specifying the types of market instruments, conventions and methodologies to be used in curve construction.
In addition to the pre-defined, ready-to-use templates provided with the Yield Curve Builder, users can define their own market instrument and yield curve templates.
Calendar Analytics is an additional component of the Yield Curve Builder that provides calendar-based analytical functions for quickly identifying relevant calendar and business/trading dates and building strips of expiry dates for a multi-cash flow instruments. The Calendar Analytics may be used in conjunction with or independent of the Yield Curve Builder.
The Yield Curve Builder is available as Excel spreadsheet.
Yield Curve Builder Features
- Ready-to-use, pre-defined yield curve templates based upon standard market conventions for major trading currencies
- Sharing yield curves between multiple users
- Full curve transparency and auditing capabilities
- Compatibility with all major market data providers (e.g. Reuters, Bloomberg) or custom built databases
- Template-based design supports both commonly accepted market practices and custom solutions
- Different interpolation techniques for curve bootstrapping and rate interpolation
- Support for Python scripts and third-party DLLs