Lakshmi Krishnamurthy - 2012-05-06
  • summary: Bond Yield Spread and Zero Discount Margin --> Advanced Curve Construction
  • Description has changed:

Diff:

--- old 
+++ new 
@@ -1,5 +1,3 @@
-1. Need to calculate the <<From>> and <<To>> counter-parts for yield spread and zero discount margin for bonds from a verierty of input bond measures, and a set of output measures.
-2. Expose the yield spread and zero discount margin to full set of closing, live, and analytics external bond API - FI - and the corresponding samples.
-3. Calculation these measures to the an arbitrary bond work-out date, as well as to the optimal exercise dates.
-4. Introduce a set of bond measure calibration from these inputs.
-5. Update the set of bond RV scenario measures matrix to include discount margin and yield spread.
+1. Credit Curve should now have a "SpecificDefaultDate" parameter - with the corresponding Date of Default parameter
+2. Explicit samples displaying the construction of the discount curve from the corresponding set of discount curve instruments
+3. Explicit samples displaying the construction of the credit curve from the corresponding set of discount curve instruments
  • Description has changed:

Diff:

--- old 
+++ new 
@@ -1,3 +1,3 @@

 1. Credit Curve should now have a "SpecificDefaultDate" parameter - with the corresponding Date of Default parameter
 2. Explicit samples displaying the construction of the discount curve from the corresponding set of discount curve instruments
-3. Explicit samples displaying the construction of the credit curve from the corresponding set of discount curve instruments
+3. Explicit samples displaying the construction of the credit curve from the corresponding set of credit curve instruments