Ultimate Forward Rate term structure example
Valuation and risk analytics examples in the DNB-FTK framework.
This repository contains examples explaining how to build different flavours of the Dutch regulatory curve, and the associated risks, using the functionality from the open source library QuantLib.
Examples are exposed purely for educational purposes.
For more info about the Dutch regulatory framework for pension funds visit the website of the Dutch National Bank.
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Financial data ICE Benchmark Administration Limited (IBA), ICE Swap Rates, 12:00 P.M. (London Time), Based on Euros, retrieved from FRED, Federal Reserve Bank of St. Louis.
This software is licensed under the Apache 2 license. See the LICENSE file for details.