Login     Register

        Contact Us     Search

By Charles Flock on 9/26/2016 1:48 PM
The XLeratorDB table-valued function SWAPCURVE takes cash, futures, and swaps rates as input and returns discount factors and continuously compounded zero coupon rates which can then be used in a variety of sophisticated financial calculations. In this article we take an in-depth look at the mechanics of SWAPCURVE calculation using SQL and other XLeratorDB functions to explain where the numbers come from. These alternative calculations are designed to be explanatory and not as a substitute for the SWAPCURVE function which will be, by far, the fastest and easiest way to generate the curve values.

Search Blogs

Copyright 2008-2023 Westclintech LLC         Privacy Policy        Terms of Service