TipsVal
Valuation library for inflation-indexed bonds
Documentation

Version: 2.2.4
Date: 20201123
Copyright (c) 2020, Andrew Kalotay Associates. All rights reserved.

Change Log

Getting Started

Description

A fast accurate library for pricing inflation-indexed bonds using nominal and real par yield curves.

Security Coverage

  • US TIPS
  • UK Index-Linked Gilts
  • French OATi and OAT€
  • German iBund and iBobl
  • Italian BTP€i

Functions

Given bond terms, nominal and real yield curves,

  • Price from yield or OAS
  • Accrued interest
  • Effective duration and convexity
  • Inflation duration and convexity
  • Deflation vega
  • Partial durations
  • Cash flows

Given nominal and real yield curves,

  • Forward inflation curve

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++