Financial analytics library Copyright (c) 2004 - 2012 by Marek Sestak, [email protected]
A set of functions/classes to perform various fixed income calculations in C++, mainly:
- price-yield conversions,
- risk measures (duration, modified duration, risk),
- daycount calculations,
- accrued interest,
- coupon dates/amounts paid out.
This program is free software: you can redistribute it and/or modify it under the terms of the GNU General Public License as published by the Free Software Foundation, either version 3 of the License, or (at your option) any later version.
This program is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more details.
You should have received a copy of the GNU General Public License along with this program. If not, see http://www.gnu.org/licenses/.