Cookbook

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

Interest Rate Curve Building

• Replicating the Single Currency Curve in Pricing and Trading Interest Rate Derivatives
• Building a Conventional Par Tenor Based SOFR Curve
• 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
• Multicurve Framework Construction
• Brazil’s Bus252 Convention and Curve Calibration
• Building Custom Curves with _BaseCurve (e.g. Nelson-Siegel)
• Non-Deliverable IRS and XCS: EM Markets

Credit Curve Building

• Replicating a Pfizer Default Curve & CDS

FX Volatility Surface Building

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

Instrument Pricing

• Understanding and Customising FixedRateBond Conventions
• Using Curves with an Index and Inflation Instruments
• Inflation Indexes and Curves 2 (Quantlib comparison)
• Pricing IBOR Interpolated Stub Periods
• Valuing Historical Swaps at Today’s Date
• Valuing Spot Swaps at Future Dates

Risk Sensitivity Analysis

• Building a Risk Framework Including STIR Convexity Adjustments
• Exploring Bond Basis and Bond Futures DV01
• Bond Future CTD Multi-Scenario Analysis
• What are Exogenous Variables and Exogenous Sensitivities?
• Another Example of an Exogenous Variable (SABR’s Beta)
• Fixings Exposures and Reset Ladders
• MultiCsaCurves have discontinuous derivatives