math-finance-exercise
May 3, 2019 ยท View on GitHub
Toolbox
Availability:
- Yield to Maturity (YTM)
- Present Value (PV)
- Future Value (FV)
- Number of Periods (N)
- Swap Rate (swap_rate)
- Interest rate models: KWF branch
Methodologies
- YTM and swap rate are determined using the Newton-Raphson method.
- KWF branch returns the larger analytical solution.
Other Notebooks
Simple demo of concepts/models in Baxter & Rennie (1996). At present, the binomial approach to model discrete process is included.
TODO
- Test cases
- Demo for modelling continuous time processes
- Interest rate models