pricing_yield_curve | Bootstraps a yield curve that reprices market instruments exactly: deposits, FRAs, IMM and overnight (SOFR) futures, fixed-float swaps, OIS, multiple-resets swaps, fixed-coupon, par and zero-coupon bonds, and Ibor/Ibor or OIS/Ibor basis swaps over a known curve, with any piecewise method (zero, discount or forward interpolation, monotone convex, global fit), dual-curve discounting or as a spread over a base curve. | |
pricing_curve_query | Evaluates any yield curve (flat, points with any interpolation, par yields, or data.curve from a curve tool) at dates or tenors: zero rate and discount factor, the instantaneous forward rate, and the forward rate over forward_tenor from each date (1y1y, 5y5y). | |
pricing_bond_curve_fit | Fits a smooth discount curve to bond clean prices (Nelson-Siegel, Svensson, exponential splines, cubic B-splines, simple polynomial, optionally as a spread over a base curve), or evaluates a curve from known parameters such as a central bank’s published Svensson parameters. | |
pricing_index | Describes an interest-rate index (family, tenor, fixing days, calendar, currency, day count, convention) and, for given fixing dates, the value and maturity dates and the fixing: the stored past fixing on or before the valuation date, or the rate forecast on the curve after it. | |
pricing_curve_spread | Derives a curve from a base curve: a parallel zero or forward spread, a term structure of zero, forward or discount spreads with any interpolation, the forward curve implied at a future date, the combination of two curves (sum, difference, max, min, average of zero rates), or the ultimate-forward-rate extrapolation of insurance regulation. | |
