The sheet calibrates a set of different curves (including discounting curves (e.g., OIS) and forward curves) from swaps. Swaps may feature different discounting curves (e.g., OIS discounting). Forward curves can be calibrated to standard swaps and tenor basis swaps. Discount curves may be calibrated to standard swaps or cross-currency basis swaps.
Although the specific algorithm used is a calibration and not a classical bootstrap, this is sometimes called "curve bootstrapping".
For details see the curve calibration page.The sheet calibrates a set of different curves (including discounting curves (e.g., OIS) and forward curves) from swaps. It also calibrates funding curves. It contains functionality for the valuation of forward bonds and total return swaps.
Valuation part contributed by Mark Lichtner. Based on the Curve Calibration Sheet.
For details see the forward bond valuation page.The sheet tests several day count conventions against its native spreadsheet implementation using the YEARFRAC function.
The generates a swap leg schedule, i.e., a sequence of periods with period start date, period end date, fixing date, payment date and period day count fractions, from given meta date, like spot, frequency, date roll convention, holiday calendars, day count convetions.
The sheet allows to create a LIBOR market model calibrated to a given forward curve and given swaptions. The parametrized volatility and correlation can be inspected. Generated interest rate scenarios can ben extracted.
For details see the LIBOR market model page.For the Excel files (.xls):
For the OpenOffice/LibreOffice files (.odt)
The source code behind these sheets can be found in the finmath lib repository.