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++