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rquantlib
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by eddelbuettel
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derivatives pricingfixed incomequantlibr
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Build the foundations
Suggested foundations for rates and fixed income. Specialist prerequisites vary by resource.
Before you read
- The Bank Account, Short Rate, and the Fundamental Pricing Equation
Understand discounting in a stochastic-rate model.
- DV01, Dollar Duration, and One-Factor Price Sensitivity
Translate yield movements into first-order price risk.
Go further
- Bootstrapping the Spot Curve from Market Instruments
Build a consistent discount curve.
- The Vasicek Model: Mean Reversion, Affine Bond Prices, and the Gaussian Distribution
Study a tractable mean-reverting rate model.