WebCab Bonds for Delphi - Set contract and vol/price/interest models and run MC using this product which offers general Interest derivatives pricing framework

WebCab Bonds for Delphi

Fundamental Theory of Bonds

Pricing and Yield
- Pricing - Discounted cash flows model in accordance with the risk free interest rate
- Yield to Maturity (YTM) - the YTM (also known as the Internal rate of Return (IRR) can be evaluated for any bond where the market price and the coupon payments until maturity are known.
- Treasury Price - evaluate the price of a Treasury bond from the Treasury zero rates.
- Bond Yield - returns the yield of a Treasury bond when the price and coupons are known.
- Par Yield - methods for calculating the Par Yield where the number of yearly payments and the annuity may vary.
Constructing the Zero Rate Curve - using the technique known as bootstrapping and linear interpolation you are able to construct the zero rate curve.
Forward Rates and FRAs
- Evaluation of Forward Rates - the forward rate for a given period can be evaluated from the zero rates at the start and end of that period.
- Forward Rate Agreements (FRAs) - a method which shows to value of a FRA and the cash flows when the contract is settled.

Duration and Convexity

Duration - the Duration of a bond, bond portfolio, interest rate future and the rescaling of Duration according to different interest compounding conventions.
Duration based hedging - Duration-Hedge Ratio, Convexity and its use in hedging interest rate risk.

Yield of Fixed-Interest Bonds on Interest payment dates

Interest Yield - A measure of the annual interest in relation to the amount invested is given in net or gross, before or after expenses.
Simple Yield to Maturity - As used in Japanese bond markets to calculate the yield to maturity (simple yield to maturity) rather than the usual compound interest method (redemption yield).
Gross Redemption Yield - For an interest payment date the gross redemption yield is given. Using the convention in the US and UK to calculate and express redemption yield as a yield per annum, convertible half-yearly.
Net Redemption Yield - The gross redemption yield on an interest payment date taking into account the investors income tax position.
Holding period return - The yield over the period the stock was held by the investor according to US and UK interest payment conventions.
Rate of Payments - Knowing the series of payments of one per interval payable in arrears for a number of intervals.
Series of Payments - Knowing the rate of interest per interval and the number of intervals.

In implementing the above procedures it has often be necessary to find solutions of polynomial equations. In order to find these solutions the following techniques were used:

Interval Bisection Method - A robust method that always finds a solution or a singularity inside a bracketed interval.
Newton-Raphson Method - Given a first approximation to a root and the differential of the function this procedure will always produce a solution. implemented for polynomial functions of one variable.

Interest Calculations

Exponents and Series - Law of Exponents, Arithmetic Progression, Finite/Infinite Geometric Series
Simple interest - a deposits value, Real worth, Real return
Compound interest - Accumulated values, Real worth, Real return, Depreciation
Effective and nominal interest - Real return, Force of interest
Accumulated values of annuity-certain - Accumulated annuity certain in arrears, Accumulated annuity certain in advance
Present values
Present value of annuity-certain
Yield - Internal rate, Real and nominal
Real returns - Bonds, Rate of return

This product also has the following feature:

ADO Mediator - The ADO Mediator assists the .NET developer in writing DBMS enabled applications by transparently combining the financial and mathematical functionality of the .NET components with the ADO.NET Database Connectivity model.
ASP.NET Web Application Examples - An ASP.NET Web Application example which enables you to quickly test the functionality within this .NET Service.
ASP.NET Examples with Synthetic ADO.NET - an ASP.NET service to perform component calculations on SQL database columns from a remote DBMS. This applies a component's function to certain rows from the database and list the output in HTML format. This is a powerful feature since it allows you to perform calculations in a DBMS manner without having to code the C# to SQL database transaction yourself as it is all done by the ASP within the .NET Framework managed server side environment.

WebCab Bonds for Delphi Main

WebCab Bonds for Delphi is electronically deliverd.