On this page are links to some financial related web tools.
- Credit Derivative
Credit Derivative Related
- CDO Tranche Price the loss protection of a CDO Tranche and also computes the par premium.
- CDS Spread Compute the Credit Default Swap premiums (spreads) from a given series of cumulative default probabilities.
- Default Probabilities Compute the conditional default probability of a credit from its Credit Default Swap premiums (spreads).
- Distribution of no of defaults Generate the distribution of number of defaulted credits in a basket by simulation.
- NTh To Default Price an Nth to default basket by simulation.
- Portfolio Default Swap Find the expected loss of a tranche by simulation.
- Fixed Income
- A simple Bond calculator A calculator to compute the price, modified duration and Macaulay duration of a bond with a given yield.
- Conversion Factor Compute the conversion factor of a deliverable bond.
- Date Generator Generate a set of dates with given period, roll date and stub.
- Forward Rate Compute forward rate over two given time.
- Yield To Maturity Compute the yield to maturity of a bond.
- Interest Rate
Interest Rate Related
- Black-Derman-Toy (BDT) Short Rate Tree
- Interest rate derivatives valued using BDT short rate tree that is fitted to a given time dependent short rate volatility curve.
- Interest rate derivatives valued using BDT short rate tree that is fitted to volatility of initial zero rate curve.
- Caplet and Floorlet Price a caplet or floorlet using Black's model.
- A Rate conversion tool
- Coupon bond stripping Derive discount factors from a set of coupon bonds.
- Forward curve Compute the forward curve from a given zero curve.
- Forward Rate Agreement
- Hull White Trinomial Tree
- Hull-White model calculator A utility to compute the mean and variance of short rate and spot rate, when the short rate follows the Hull-White model.
- Hull-White Spot Rate Curve A utility to compute a spot rate curve implied by a short rate from the Hull-White model.
- Libor Market Model (BGM model)
- Mortgage Pass Throughs A utility to compute the cashflows of a mortgage with fixed repayment rate.
- Monte Carlo
Monte Carlo Related
- Brownian Motion
- Coin Tossing Experiment
- Pseudo/Quasi Random Sequence Generate and plot Pseudo random numbers and Halton sequence.
- Simulations of short rates using the Hull White one factor model.
- Distrbution of price of zero coupon bond using the Hull White one factor model
Given a one step transition matrix P. Verify the two cases below give the same distibution of states at the nth step.
- Use the n step transition matrix Pn.
- Apply the one step tranisiton matrix n times.
- European Short-Term Bond Options Price short term bond option by Black-76 model
- Forward or Future
- Multi Assets
- Multi Exercises
- Plain Vanilla Options
- Binomial Tree
- Vanilla option on non-dividend paying asset Compute the price of a European/American call/put option by a binomial tree.