Software

Software

The aim of the Software section is to provide software including pseudo code, Matlab and C/C++ programs, Excel/VBA files, etc., used in valuation and risk analysis of fixed income securities and their derivatives, and for fixed income risk management.

Try our freely downloadable user-friendly Excel/VBA spreadsheets on i) a variety of interest rate risk models for portfolio risk management (e.g., duration, convexity, key rate durations, principal component durations, etc.), ii) a variety of dynamic term structure models for pricing interest rate derivatives (e.g., Vasicek, CIR, multifactor affine and quadratic models, Libor Market Models, etc.), and iii) a variety of structural and reduced-form models for pricing credit derivatives (e.g., Merton, KMV, Longstaff and Schwartz, Collin-Dufresne and Goldstein, Duffie and Singleton, etc.). Install the software by downloading and executing the .exe file and then follow the on-screen instructions. The software requires Windows XP or later and Excel XP or later. Also, "enable" the Macros when you open the Excel files.

Submissions of software files in all areas of fixed income can be sent electronically to our contact e-mail: team.fixedincomerisk@gmail.com

Books Software

Interest Rate Risk Modeling: The Fixed Income Valuation Course - Nawalkha, Soto, Beliaeva

You can use the software accompanying this book to estimate a yield curve, compute non-parallel interest rate risk measures for bonds and a variety of interest rate derivatives, implement passive portfolio strategies, such as immunization and bond index replication, and implement speculative strategies based on expected yield-curve movements.

Download a single file for all the models here or download separate files from the following list:


Dynamic Term Structure Modeling: The Fixed Income Valuation Course - Nawalkha, Beliaeva, Soto

You can use the software accompanying this book to value American interest rate derivatives by building interest rate trees for low-dimensional affine models, as well as value European interest rate derivatives using quasi-analytical formulas for higher-dimensional affine, quadratic, and LIBOR market models.

Download a single file for all the models here or download separate files from the following list:


Guides Software

Download the software for the following guides: