Financial Toolkit : Main Page

On this page are links to some financial related web tools.

Credit Derivative
Credit Derivative Related
  1. CDO Tranche Price the loss protection of a CDO Tranche and also computes the par premium.
  2. CDS Spread Compute the Credit Default Swap premiums (spreads) from a given series of cumulative default probabilities.
  3. Default Probabilities Compute the conditional default probability of a credit from its Credit Default Swap premiums (spreads).
  4. Distribution of no of defaults Generate the distribution of number of defaulted credits in a basket by simulation.
  5. NTh To Default Price an Nth to default basket by simulation.
  6. Portfolio Default Swap Find the expected loss of a tranche by simulation.
Fixed Income
Fixed Income
  1. A simple Bond calculator A calculator to compute the price, modified duration and Macaulay duration of a bond with a given yield.
  2. Conversion Factor Compute the conversion factor of a deliverable bond.
  3. Date Generator Generate a set of dates with given period, roll date and stub.
  4. Forward Rate Compute forward rate over two given time.
  5. Yield To Maturity Compute the yield to maturity of a bond.
  1. FX Forward
  2. FX Target Redemption Note Price a FX TARN by simulation.
Interest Rate
Interest Rate Related
  1. Black-Derman-Toy (BDT) Short Rate Tree
  2. Interest rate derivatives valued using BDT short rate tree that is fitted to a given time dependent short rate volatility curve.
  3. Interest rate derivatives valued using BDT short rate tree that is fitted to volatility of initial zero rate curve.
  4. Caplet and Floorlet Price a caplet or floorlet using Black's model.
  5. A Rate conversion tool
  6. Coupon bond stripping Derive discount factors from a set of coupon bonds.
  7. Forward curve Compute the forward curve from a given zero curve.
  8. Forward Rate Agreement
  9. Hull White Trinomial Tree
  10. 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.
  11. Hull-White Spot Rate Curve A utility to compute a spot rate curve implied by a short rate from the Hull-White model.
  12. Libor Market Model (BGM model)
    • Caplet/Floorlet Price a Caple/Floorlet by simulation using the Libor market model.
    • Exotic Cap/Floor Price ratchet,sticky or vanilla Cap/Floor by simulation using the Libor market model.
    • Single Trial One trial of simulation of forward rates using Libor market model.
  13. Mortgage Pass Throughs A utility to compute the cashflows of a mortgage with fixed repayment rate.
Monte Carlo
Monte Carlo Related
  1. Brownian Motion
  2. Coin Tossing Experiment
  3. Pseudo/Quasi Random Sequence Generate and plot Pseudo random numbers and Halton sequence.
  4. Simulations of short rates using the Hull White one factor model.
  5. Distrbution of price of zero coupon bond using the Hull White one factor model
  6. Transition Matrix 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.
  1. Par asset swap Value a par asset swap.
  2. Vanilla swap Value a vanilla interest rate swap.
  3. Par swap rate Compute the par swap rate for an vanilla swap.
  4. Variance swap Compute that par variance.
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