In finance we often deal with different kinds of curves. For instance:
- LIBOR
- REPO
- Deposit Rates
- Treasuries
- Swaps
- and many others.
SAMOA has the whole history of these curves, as well as the analytics to perform common operation like the following:
- Interpolating points
- Computing discount factors and/or rates
- Calculating carry
- Calculating rates for different periods
- Calibrating to historical data
- etc
Let’s look at some examples related to US GC Repo rates.
- List of historical curves (Bid side):
declare @sql nvarchar(max) = dbo.ssUSGCCurve_GetSQL(0); EXEC(@sql);
-
Therefore, if we request the system the curve as of 1991-05-23, SAMOA will use the row highlighted in yellow:
select * from dbo.ssUSGCCurve_Get_rates('1991-05-23', 0);
- Calculate the discount factors:
select * from dbo.ssUSGCCurve_Get_dfcurve('1991-05-23', 0, NULL)
-
Calculate the Repo rate from 1991-05-25 to 1991-06-14.
SELECT dbo.ssUSGCCurve_MMkt_DS('1991-05-23',0, '1991-05-25', '1991-06-14', 100, NULL,1,7,2,7)*100 as Rate
