FloatVal
Valuation library for floating rate securities

Version: 1.9.1
Date: 20201130
Copyright (c) 2020, Andrew Kalotay Associates. All rights reserved.

Change Log

Getting Started

Description

A fast accurate library for pricing floating rate and structured securities using a piecewise constant forward curve for valuing future cash flows and a stochastic lognormal short rate model for valuing options.

Security Coverage

  • Floaters
  • Fixed-to-float
  • Float-to-fixed
  • Capped, floored, range floaters
  • Any of above with European, Bermudan, or American call

Functions

  • Yield-related functions
    • YTM, YTC, YTW, yield-to-specified-redemption-date
    • Effective duration and convexity
    • Discount margin
  • OAS-related functions
    • Interest rate models available:
      • Lognormal
      • Shifted lognormal
      • Normal
    • OAS
    • Effective duration and convexity
    • Vega (volatility duration)
    • Partial durations
    • Projected cash flows

Technical specifications

  • Available as shared library on following platforms
    • 64-bit Windows DLL
    • 64-bit Linux
    • 64-bit Mac OS X
  • C++, Java, C# API's
  • Threadsafe
  • Written in C++