Fixed-Income Toolbox 1.5
Product Description
- Introduction and Key Features
- Mortgage Pools and Balloon Mortgages
- Debt Instruments
- Derivatives Securities
Derivatives Securities
The Fixed-Income Toolbox provides tools based on Black's option functions for working with fixed-income derivatives. These tools let you calculate swap price by computing par yields that equate the floating-rate side of a swap to the fixed-rate side. You can set the present value of the fixed side to the present value of the floating side without aligning and comparing fixed and floating periods.
The duration-hedging capability in the toolbox lets you hedge a portfolio and address interest-rate risk exposure with a swap arrangement.
The Fixed-Income Toolbox lets you use binomial and trinomial trees to value convertible bonds. The value of the convertible bond is determined by the uncertainty of the relative stock.
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