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Bond Yield Spread and Zero Discount Margin


  • 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.
  • Expose the yield spread and zero discount margin to full set of closing, live, and analytics external bond API - FI - and the corresponding samples.
  • Calculation these measures to the an arbitrary bond work-out date, as well as to the optimal exercise dates.
  • Introduce a set of bond measure calibration from these inputs.
  • Update the set of bond RV scenario measures matrix to include discount margin and yield spread.