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

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

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
HJM Pricing
Calculating Prices and Sensitivities
Calculating Prices and Sensitivities
Pricing and the Price Tree

Treeviewer Examples

Valuation Date Prices
Additional Observation Times
Example 1.
Example 2.
Example 3.
Example 4.
Example 5.
Example 6.

BDT Examples

Specifying the Volatility (VolSpec)
Specifying the Interest Rate Term Structure (RateSpec)
Specifying the Time Structure (TimeSpec)
Creating a BDT Tree
BDT Pricing Example

Hedging Examples

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

Hedging with Constrained Portfolios

Minimize Portfolio Sensitivities
Fully Hedged Portfolio
Under-Determined System