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A Traderís Guide to Bonds Swaps & IR Instrument:


Volume 1 Ė Products, Pricing, Structuring

Accompanying Software

Available at the ARTShop

(1,073+ colour pages, much software, e-Book & soft cover)



1 Read Me 1st .. . ToC
2 annuity etc
3 GovCurve 1 - curve build 1
4 GovCurve 2 - curve build 2
5 LIBOR Curve 1 - curve build 3
6 LIBOR Curve 2 - curve build 4
7 df vs Y Interp
8 Cash&Carry
9 Interest Rate Parity Arb
10 T-Bills and LIBOR
11 Bonds 1
12 Bonds IRR Newton
13 Bond Zero-Curve
14 Ammort Bond Zero-Curve
15 FRN Zero-Curve
16 Inv Floater
17 Bond Value Properties
18 FRA-Futues TVal Cnvxty
19 Vanilla EUR Swap
20 IMM Swap
21 General Swap Main
22 General Swap 2nd
23 General Swap Port and Bucket
24 Mortgage
25 CMT NaÔve
26 CMT CMS B Port
27 FXd Bond (naive)
28 XCFixed-Fixed Swap
29 Inflation-Indexed Bond
30 Asset Swap
31 Tot Return Swap
32 Equity S&P LIBOR
33 Simple Bond Hedge - hedging
34 Performance 1 - position taking with performance/limit conditions
35 Curve Arb
36 Constants and Defs
37 Basis Table 1


Function/Library (most including VBA source code)


Function TG2BSIRV1_df_to_SwapRate_Simple(dfs As Range, iFreq%) As Double
Function TG2BSIRV1_fbasis_names(i%) As String
Function TG2BSIRV1_ibasis_names(i%) As String
Function TG2BSIRV1_IRAnnutizeFactor(Rate As Double, YFrac2Mat As Double, iFreq As Long) As Double
Function TG2BSIRV1_Line_Interpolate_Double(x1 As Double, x2 As Double, y1 As Double, y2 As Double, xstar As Double, iftype As Long) As Double
Function TG2BSIRV1_NextDate(curdate As Variant, offsetmonths As Integer, iBasis As Integer, eventbasis As Integer) As Variant
Function TG2BSIRV1_FirstWedofMonth(curdate As Variant) As Variant
Function TG2BSIRV1_EDate(curdate As Variant, offsetmonths%) As Variant
Function TG2BSIRV1_NextIMMMonth(curdate As Variant) As Integer
Function TG2BSIRV1_IsIMMMonth(curdate As Variant) As Boolean
Function TG2BSIRV1_ThirdWedofMonth(curdate As Variant) As Variant
Function TG2BSIRV1_cbasis_names(i%) As String
Function TG2BSIRV1_FRA_Settlement_1(RefRate As Double, IndexRate As Double, _
Function TG2BSIRV1_df_to_Frwrd(df1#, df2#, tyrs#, iFreq%) As Double
Function TG2BSIRV1_Mrtg_BlendedPrdCashFlows(iPrd As Integer, _
Function TG2BSIRV1_Interp_Names(i%) As String

Available at the ARTShop

(1,073+ colour pages, much software, e-Book & soft cover)


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Last modified: July 25, 2011