The Imagine Marketplace

Yield Curve Back Test Generator

Imagine Software, Inc

The Yield Curve Back Test Generator App takes a user-specified portfolio and loads its current yield curves' historical key rates over user-specified timeframe. The table produced by the app is defined by the historical dates as its rows and the individual key rates as the columns.

Though the app can be run independently, it is most useful when used in conjunction with the Yield Curve Back Tester app. The output of Yield Curve Back Test Generator can be used as the input for Yield Curve Back Tester. Refer to the documentation on the Yield Curve Back Tester App for more details.

Current Derivatives.com users, click here for additional information on using Yield Curve Back Test Generator.