Cookbook

This is a collection of more detailed examples and explanations that don’t necessarily fall into any one category.

Curve Building

• Replicating a SOFR Curve & Swap from Bloomberg’s SWPM
• Solving Curves with a Dependency Chain
• How to Handle Turns in Rateslib
• Comparing Curve Building and Instrument Pricing with QuantLib

Instrument Pricing

• Pricing IBOR Interpolated Stub Periods
• Working with Fixings

Risk Sensitivity Analysis

• Building a Risk Framework Including STIR Convexity Adjustments
• Exploring Bond Basis and Bond Futures DV01
• Bond Future CTD Multi-Scenario Analysis