Cookbook

This is a collection of more detailed examples and explanations that don’t necessarily fall into any one category.

Curve Building

• Solving Curves with a Dependency Chain
• How to Handle Turns in Rateslib
• Comparing Curve Building and Instrument Pricing with QuantLib
• Constructing Curves from (CC) Zero Rates

FX Volatility Surface Building

• A EURUSD market for IRS, cross-currency and FX volatility
• FX Volatility Surface Temporal Interpolation

Instrument Pricing

• Pricing IBOR Interpolated Stub Periods
• Working with Fixings
• Valuing Historical Swaps at Today’s Date
• Valuing Spot Swaps at Future Dates
• Applying Amortization to Instruments
• Configuring Cross-Currency Swaps - is it USDCAD or CADUSD?

Risk Sensitivity Analysis

• Building a Risk Framework Including STIR Convexity Adjustments
• Exploring Bond Basis and Bond Futures DV01
• Bond Future CTD Multi-Scenario Analysis