New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

Sign up for GitHub

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Jump to bottom

Analytics Output Bond RV Measures #69

Open

lakshmiDRIP opened this issue Feb 26, 2018 · 0 comments

Assignees

Labels

analytics

Milestone

Analytics Output

Owner

lakshmiDRIP commented Feb 26, 2018

BondRVMeasures encapsulates the comprehensive set of RV measures calculated for the bond to the appropriate exercise:

Workout Information
Price, Yield, and Yield01
Spread Measures: Asset Swap/Credit/G/I/OAS/PECS/TSY/Z
Basis Measures: Bond Basis, Credit Basis, Yield Basis
Duration Measures: Macaulay/Modified Duration, Convexity

lakshmiDRIP added bug labels

lakshmiDRIP added this to the Analytics Output milestone

lakshmiDRIP self-assigned this

lakshmiDRIP added analytics and removed bug labels

Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment