3
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1answer
276 views

How to manage evaluation date changes in QuantLib while using ImpliedTermStructure Class

I will not attach the whole code 'cause it would be just a huge waste of space and it would be not useful for this question's purpose. What I am going to attach here is a snippet code and its output, ...
1
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0answers
576 views

What is the best alternative of Quantlib library

We need to build a Fixed Income Portfolio Risk Analytics solution. Somehow due to administrative reason we can't use Quantlib which is written in C++, even call it through SWIG via JNI. We have tried ...
2
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1answer
2k views

Duration of a floating rate note

I have the following C# code for calculating the modified duration of fixed coupon bonds: ...
1
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1answer
192 views

Need to match my bond price calculation to that of Bloomberg, currently failing hard

I have a fixed-coupon bond with the following characteristics: ...
2
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2answers
827 views

How can you convert the CUSIP of a bond issue to the CUSIP of the company's stock/

As part of a research project I ran a query on the Mergent FISD database using the WRDS website. The output included the CUSIPs of numerous bond issues (>10000). I am using this data to run event ...
2
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3answers
710 views

Treasury Bond Yield Curves in R

Does anyone know if I can access interest rates series from the treasury using R? I tried yahoo! Finance and it doesn't seem to have this kind of information.
0
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0answers
151 views

Looking for FpML best practices

We want start using FpML within our organisation; where message will be sent using FpML. What are best practices to do this ? If anyone who have used Tools as well as; i want to use FpML for ...