Indices

In[2]:=

Indices.HTML_1.gif

In[4]:=

Indices.HTML_2.gif

Out[4]=

Indices.HTML_3.gif

In[5]:=

Indices.HTML_4.gif

Out[5]=

Indices.HTML_5.gif

Constructing Indices and fleshing them out

In[6]:=

Indices.HTML_6.gif

Indices.HTML_7.gif

In[7]:=

Indices.HTML_8.gif

Out[7]=

Indices.HTML_9.gif

The index construction needs a yield curve. These can be constructed with functions available in the TermStructure category

In[8]:=

Indices.HTML_10.gif

Out[9]=

Indices.HTML_11.gif

In[10]:=

Indices.HTML_12.gif

Out[10]=

Indices.HTML_13.gif

Global`BMAIndex1

BaseClass[BMAIndex1]^=IndexProcessor
Category[BMAIndex1]^=Indices
ClassName[BMAIndex1]^=qlBMAIndex
ObjectId[BMAIndex1]^=BMAIndex1
Overwrite[BMAIndex1]^=False
Permanent[BMAIndex1]^=False
Properties[BMAIndex1]^=4
ValueObject[BMAIndex1]^=qlBMAIndex
YieldCurve[BMAIndex1]^=FlatForward1

In[12]:=

Indices.HTML_14.gif

Indices.HTML_15.gif

Out[13]=

Indices.HTML_16.gif

In[14]:=

Indices.HTML_17.gif

Out[15]=

Indices.HTML_18.gif

Out[16]=

Indices.HTML_19.gif

In[17]:=

Indices.HTML_20.gif

Out[17]=

Indices.HTML_21.gif

In[18]:=

Indices.HTML_22.gif

Indices.HTML_23.gif

In[19]:=

Indices.HTML_24.gif

Out[19]=

Indices.HTML_25.gif

In[31]:=

Indices.HTML_26.gif

Indices.HTML_27.gif

Out[31]=

Indices.HTML_28.gif

In[32]:=

Indices.HTML_29.gif

Out[35]=

Indices.HTML_30.gif

Ibor Index

In[12]:=

Indices.HTML_31.gif

Indices.HTML_32.gif

In[15]:=

Indices.HTML_33.gif

Out[15]=

Indices.HTML_34.gif

Analysing Indices

In[36]:=

Indices.HTML_35.gif

Out[36]=

Indices.HTML_36.gif

In[37]:=

Indices.HTML_37.gif

Out[37]=

Indices.HTML_38.gif

In[27]:=

Indices.HTML_39.gif

Indices.HTML_40.gif

In[38]:=

Indices.HTML_41.gif

Out[38]=

Indices.HTML_42.gif

In[39]:=

Indices.HTML_43.gif

Out[39]=

Indices.HTML_44.gif

In[40]:=

Indices.HTML_45.gif

Out[40]=

Indices.HTML_46.gif

InterestRateIndexCurrency, InterestRateIndexDayCounter, InterestRateIndexFamilyName, InterestRateIndexFixingDate, InterestRateIndexFixingDays, InterestRateIndexMaturity, InterestRateIndexTenor, InterestRateIndexValueDate

In[42]:=

Indices.HTML_47.gif

Out[42]=

Indices.HTML_48.gif

In[43]:=

Indices.HTML_49.gif

Out[43]=

Indices.HTML_50.gif

In[44]:=

Indices.HTML_51.gif

Out[44]=

Indices.HTML_52.gif

In[45]:=

Indices.HTML_53.gif

Out[45]=

Indices.HTML_54.gif

In[46]:=

Indices.HTML_55.gif

Out[46]=

Indices.HTML_56.gif

In[47]:=

Indices.HTML_57.gif

Out[47]=

Indices.HTML_58.gif

Spikey Created with Wolfram Mathematica 7.0