Navigating curves:Developing Scenario Analysis Applications using Interest Rate Curve Objects in MATLAB

Wilmott Magazine, Nov 2012


Any practicing Fixed-income Quant would agree that building interest-rate curves is not an exact science and is not a trivial problem. Considering the number of interpolation methodologies and various market specific conventions, configuring and constructing yield curves requires significant knowledge of the fixed-income domain and intimate details about the implementation methodology. At MathWorks, we have worked with many customers in helping build a framework for construction of various curves needed by fixed-income quants in building and integrating fixed-income applications.

In this article, we share some of the tools MathWorks offers to assist in Fixed-income modeling and for constructing curves. We detail the usage and discuss how leveraging these tools, Fixed-income quants can speed up building, extending and integrating their applications. We also discuss through an example how scenario analysis can be implemented using MATLAB and associated Toolboxes. We also discuss how parallel computing tools can be used to speed up computations.

Note: This article was authored by Sri Krishnamurthy when he was employed at MathWorks.

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