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Interest-Rate Instruments

Interest-rate instruments price, sensitivities, and term structure

An interest-rate instrument is a derivative where the underlying asset is the right to pay or receive a notional amount of money at a given interest rate. This toolbox provides functionality to price, compute sensitivity, and perform hedging analysis for many interest-rate securities. You can price bonds, floating-rate notes, vanilla swaps, futures, bond options, amortizing bonds, caps, and floors with pricing models that include lattice models, Monte Carlo simulations, and multiple closed-form solutions.