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On this website we include an abridged version (3A) of RATE
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The full version includes a yield curve calculator for constructing curves from coupon bond prices, as well as an interest-rate swap and cap calculator. The functionality can be downloaded for free from QuantLib. A description of how to do this is given in Chapter 11 of the book Capital Market Instruments (Palgrave MacMillan, 3rd Edition 2010). |
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Home
What's New
Market Research
Presentations RATE yield curve model Excel Spreadsheets |
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Yield Curves
Glossary
Contact Us
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