Bond Yield Spread and Zero Discount Margin
Registered by
Lakshmi Krishnamurthy
- Need to calculate the <<From>> and <<To>> counter-parts for yield spread and zero discount margin for bonds from a verierty of input bond measures, and a set of output measures.
- Expose the yield spread and zero discount margin to full set of closing, live, and analytics external bond API - FI - and the corresponding samples.
- Calculation these measures to the an arbitrary bond work-out date, as well as to the optimal exercise dates.
- Introduce a set of bond measure calibration from these inputs.
- Update the set of bond RV scenario measures matrix to include discount margin and yield spread.
Blueprint information
- Status:
- Started
- Approver:
- None
- Priority:
- High
- Drafter:
- None
- Direction:
- Needs approval
- Assignee:
- None
- Definition:
- New
- Series goal:
- Accepted for 1.4
- Implementation:
-
Deployment
- Milestone target:
-
1.4
- Started by
- Lakshmi Krishnamurthy
- Completed by
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