Yield Calculator
The Java applet on this page was written for an early version of the Java language and has not been updated recently. Users interested in development of a newer version should contact us directly.
Inputs
The yield curve in the Snowgold Yield Curve applet can be built from any combination of 4 groups of points or sections derived from different financial instruments. These instruments are cash, futures, FRAs and Swaps / Bonds.
For each section, a precedence and day basis are specified. For more information on day basis, see the Date Convention Applet. Additionally, for Swap / Bond rates, the coupon payment frequency is also specified. This can be Annual(A) or Semi Annual(SA). The precedences range from 1 to 4, with 1 being the highest. A precedence of X indicates that the points from this section should not be used to build the yield curve.
When points in sections overlap, e.g. future and cash rates, the precedence of the sections is used to decide which points will be included in the curve.
On start-up, the current date is entered into the today field at the top of the applet. This can be overridden if desired. The number of days to spot is specified using the choice list at the top of the applet. For most currencies this is normally a delay of two business days (2B), but for French Francs (FRF) this is one day (1B) and for British Pounds (GBP) spot is the same day (0B).
Modifying the existing curve points
The existing curve points are modified by double clicking on the row you wish to modify in the relevant section. This will cause a dialog box to be displayed where the new market rate for the selected point can be entered. This new value will only take effect when the curve is rebuilt using the calculate button.
Outputs
For each point on the curve, a discount factor (DF) is calculated. From this discount factor, zero coupon rates (Zero), continuously compounded zero (ccz) rates and forward rates can be calculated. The discount factors and zero coupon rates are shown in each yield section. These rates and the continuously compounded zeros can be displayed graphically.
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