Market Software

RATE Computer Software

We describe here the RATE application software that was originally included as part of the book Capital Market Instruments, published by FT Prentice Hall in 2001. The 3rd edition of this book was published by Palgrave Macmillan in 2010 and replaced the book's CD-R with a description of how the functionality can be downloaded from QuantLib.

RATE is designed to demonstrate a selection of interest rate products and market concepts. It has components for modelling the zero curve either using bond yields or a combination of cash money market and derivative interest rate products, which we have called the "standard" yield curve. RATE also contains interest-rate swap and cap valuation tools.

The application is reasonably simple to operate and is assembled with a help file. A reader familiar with windows style applications and with interest rate markets will be able to use RATE without any difficulty. However, we recommend that users read the chapter on RATE before using it.

RATE is a fixed income valuation tool which allows the user to construct zero coupon yield curves from a variety of fixed income instruments including bonds, loans/deposits, futures and swaps. It also allows the user to value swaps and cap/floor options.

From the zero curve RATE calculates the forward rates allowing the user to observe anomalous points on the curve. The application comes with a comprehensive help file to get the user up and running in no time.