Curves

By nestor on May 30, 2009 at 5:05 pm in General

In finance we often deal with different kinds of curves. For instance:

  • LIBOR
  • REPO
  • Deposit Rates
  • Treasuries
  • Swaps
  • and many others.

SAMOA has the whole history of these curves, as well as the analytics to perform common operation like the following:

  • Interpolating points
  • Computing discount factors and/or rates
  • Calculating carry
  • Calculating rates for different periods
  • Calibrating to historical data
  • etc

Let’s look at some examples related to US GC Repo rates.

  • List of historical curves (Bid side): 
declare @sql nvarchar(max) = dbo.ssUSGCCurve_GetSQL(0);
EXEC(@sql);

image

  • Therefore, if we request the system the curve as of 1991-05-23, SAMOA will use the row highlighted in yellow:

select * from dbo.ssUSGCCurve_Get_rates('1991-05-23', 0);

image

image

  • Calculate the discount factors: 
select * from dbo.ssUSGCCurve_Get_dfcurve('1991-05-23', 0, NULL)

image 

  • Calculate the Repo rate from 1991-05-25 to 1991-06-14. 

SELECT dbo.ssUSGCCurve_MMkt_DS('1991-05-23',0, '1991-05-25', '1991-06-14', 100, NULL,1,7,2,7)*100 as Rate

image

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