The Imagine Marketplace

Yield Curve Back Tester

Imagine Software, Inc

The Yield Curve Back Tester App iterates through a time series of historical dates and calculates the change in a holding's value based on the change in associated yield curve key rates (i.e., it "back tests" the holdings). This app requires a user-specified portfolio and user-specified Custom Reference Table containing a time series of historical key rates. Examples of key rates include USD_3M, BRL, 3M, USD_5Y, and GBP_5Y. The results table produced by the app is defined by the historical dates as the rows and holding identifiers as the columns.

Though the app can be run independently, it is intended to be run in conjunction with the Yield Curve Back Test Generator 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 Test Generator App for more details.

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