The BasicBond Model¶
Overview¶
BasicBonds models a portfolio of fixed rate bonds,
generates cashflows and calculates the market value of the portfolio
from a risk-free curve and Z-spreads.
A table of bond attributes, a zero curve, a valuation date are given as inputs in the model. Based on the inputs, the cashflows and market values of the bonds are calculated.
The Z-spreads of the bonds are given as an attribute of the input data, but the models has a cells to recalculate the Z-spreads from the market values of the bonds for validation.
BasicBonds uses QuantLib, a third-party
open-source library for financial instrument valuation.
BasicBonds contains only once space, Bonds
and all the inputs and calculations are defined in Bonds.
See Bonds for the specification details.
Model Specifications¶
The Bonds Space¶
The main Space in the |