CurveTrader Online Help

    Technical Support
    Introduction
    License Agreement
    Version Information

    Installing the Software

       System Requirements
       Copy Protection
       Installing the Add-In
       Using the Add-In in Excel
       Removing the Add-In from Excel

    References

       Zero Curve Methodology
       Option Methodology
       Technical Articles

    Simple Bond Functions

       BillPrice() function
       BillYield() function
       BillDisc() function
       BondPrice() function
       BondPrice2Step() function
       BondPriceVar() function
       BondYield() function
       BondYield2Step() function
       BondYieldVar() function
       BondCoupon() function
       BondAccrued() function
       BondDuration(), BondMDuration() and BondConvexity() functions
       BondPVBP() function
       BondMSquare() function
       BondForwardPrice() function
       BondPriceOddFirst() function
       BondYieldOddFirst() function
       BondPriceOddLast() function
       BondYieldOddLast() function
       BondPriceVol() function
       BondYieldVol() function
       RRBCouponAccrual() function
       RRBFlatPrice() function
       RRBInflationAccrual() function
       RRBSettlementPrice() function

    Utility Functions

       Date Functions

          AddDate() function
          AddBusinessDays() function
          AddMonth() function
          BondAddMonth() function
          BusinessDate() function
          WeekEndAdj() function
          ModFolBusDay() function
          ModFolBusDayHol() function
          IsHoliday() function
          NextBAXDate() function
          BAXDateNew() function
          NextIMMDate() function

       Other Utility Functions

          CubicSplineInterp(), LinInterp(), and LogLinInterp() functions
          BiLinInterp() function
          CGFConvFact(), CGBConvFact(), and CGFConvFact1() functions
          CGFBasis(), CGBBasis(), and CGFBasis1() functions
          Yconvert() function

    Generic Option Functions

       European and American Generic Option Functions

    Equity Option Functions

       European and American Equity Option Functions

    Bond Option Functions (Black-Scholes World)

       European and American Bond Option Functions

    FRA & Swap Functions

       FRA_zr() function
       FRA_df() function
       Forward_Rate() function
       NPV_FRA() function
       FwdParSwapRateVarPrin() function
       NewParSwapRate() function
       PVBPParSwap() function
       PVBPParSwapHol() function
       NPV_Swap() function
       NPV_Swap_FixedLeg() function
       NPV_Swap_FloatLeg() function
       IMMParSwapRate() function
       BAXParSwapRate() function
       FwdParSwapRate() function
       FwdParSwapRateHol() function

    Swaption Functions (Black-Scholes World)

       Level Principal Swaptions (Black-76 model)
       Variable Principal Swaptions (Black-76 model)

    Cap & Floor Functions (Black-Scholes World)

       Cap & Floor functions

    Eurodollar & BAX Options

       ED_BAX_Call() and ED_BAX_Put() functions

    Hull-White Model Functions Introduction

       Hull-White Model Introduction

    Hull-White Model Functions (CurveTrader)

       HW_CurveBondPrice() function
       HW_CurveBondPriceOAS() function
       HW_CurveBondPriceRV() function
       HW_GetZero() function
       HW_GetForward() function
       HW_BondEuroCall() and HW_Bond_EuroPut() functions
       HW_cap_fix_strike() and HW_floor_fix_strike() functions
       HW_FwdParSwapRate() function
       HW_PayerSwaption() and HW_ReceiverSwaption() functions
       HW_cap_var_strike() and HW_floor_var_strike() functions
       HW_NPV_Swap_Simple() function
       HW_ED_Futures_Price() function
       HW_ED_Futures_Bias() function

    Additional Hull-White Model Functions (HW-Trader)

       HW_CurveBondPriceVar() function
       HW_CurveBondPriceVarOAS() function
       HW_cap_fix_strike_new() and HW_floor_fix_strike_new() functions
       HW_Caplet() and HW_Floorlet() functions
       Level-coupon European & American Bond Options (HW-Tree)
       Variable-coupon American & Bermudan Bond Options (HW-Tree)
       American & European Swaptions (HW-Tree)
       Variable Strike Bermudan Swaptions (HW-Tree)
       Constant Strike Bermudan Swaptions (HW-Tree)
       Fixed End-Date American Swaptions (HW-Tree)
       Fixed End-Date European Swaptions (HW-Tree)
       Complex Callable Bonds (HW-Tree)
       Simple Callable Bonds (HW-Tree)
       HWTree_AccrualNote() function
       Complex Retractable Bonds (HW-Tree)
       Simple Retractable Bonds
       HW_SimpleExtendible() function
       HWTree_SavingsBond() function
       HWTree_ExchBondOpt() function
       HWTree_CMS_Fixed_Rate() function
       HW_CMS_Fixed_Rate() function
       HW_CMT_Fixed_Rate() function
       HW_CMT_Cap() and HW_CMT_Floor() functions

    New Functions (Uncategorized)

       GenCurveBondPriceRV() function
       GenCurveBondPriceRVHol() function
       GenCurveBondPriceRVHolOAS() function
       GenCurveBondPriceRVOddFirst() function
       GenCurveBondPriceRVOddFirstOAS() function
       GenCurveBondPriceRVOddFirstHol() function
       GenCurveBondPriceRVOddFirstHolOAS() function
       GenFRA() function
       HW_Bond_ED_Hedge() function
       HW_ED_Futures_Price_new() function
       HW_ED_FwdShock() function
       GenCurveBondPriceRV_FShock() function
       GSwap_ParRate_Simple() function
       GSwap_ParRate_Simple1() function
       HWTree_AccrualConv() function

    Mortgage Bond Systems Functions

       How To Use Array Formulas
       MBS_Tabular() function
       Ruthless_Mortgage_Price() function

© 1995-98 Leap of Faith Research Inc.