How to open
For example, click a mortgage bond > this opens a curve chart > click "Interpolation".
|
Function |
Description |
|---|---|
|
Interpolation |
The default interpolation method is cubic splines, with constraints to ensure monotonicity, and overshooting minimisation. The output is the annualized rate for the selected date. |
|
Curve |
Select the curve to interpolate. |
|
Maturity |
Select the desired broken dates. |
|
Discount factors |
Displays the discount factors for the selected dates. |
|
Cash flow input |
Add the scheduled cash flows to calculate the present or future value. |
|
Present and Future Value |
The sum of the inserted cash flows is displayed at the bottom of the window. Calculations are performed in continuous time (that is, not discrete). |