The BasicBond Model#


BasicBonds models a portfolio of fixed rate bonds, generates cashflows and calculates the market value of the portfolio from a risk-free curve and Z-spreads.

A table of bond attributes, a zero curve, a valuation date are given as inputs in the model. Based on the inputs, the cashflows and market values of the bonds are calculated.

The Z-spreads of the bonds are given as an attribute of the input data, but the models has a cells to recalculate the Z-spreads from the market values of the bonds for validation.

BasicBonds uses QuantLib, a third-party open-source library for financial instrument valuation.

BasicBonds contains only once space, Bonds and all the inputs and calculations are defined in Bonds. See Bonds for the specification details.

Model Specifications#

The Bonds Space#


The main Space in the BasicBonds model.