Index of Examples

Use this example index to jump to code examples in the documentation.

Instrument Portfolio Examples

Creating New Instruments or Properties
instfind Examples.
instselect Examples.

Interest Rate Environment Examples

Calculating Rates Applicable to Different Periods
Calculating Discount Factors from Rates
Calculating Rates from Discounts
Sensitivities and Prices
Pricing a Portfolio of Instruments

HJM Examples

Creating the HJM Forward Rate Tree (hjmtree)
Specifying the Volatility Model (VolSpec)
Specifying the Interest Rate Term Structure (RateSpec)
Specifying the Time Structure (TimeSpec)
Creating an HJM Tree
Pricing and the Price Tree
Calculating Prices and Sensitivities

Hedging Examples

Maintaining Existing Allocations
Partially Hedged Portfolio
Fully Hedged Portfolio
Minimizing Portfolio Sensitivities
Self Financing Hedges (hedgeslf)
Specifying Constraints with ConSet

Hedging with Constrained Portfolios

Fully Hedged Portfolio
Minimize Portfolio Sensitivities
Under-Determined System

Treeviewer Examples

Display an HJM forward rate tree.
Display HJM price tree including instrument set.
Display HJM price tree with renamed instruments.
Display HJM price tree using default instrument names (numbers).