Hi everybody,
I would like to know if there are Fortran procedures (preferably
in source code) that return the cash flows and cash flow dates, given
the maturity date, the coupon, and the first coupon date, etc
Also, I am searching a routine that help extracting the spot yield
curve from coupon-paying treasuries.
I would prefer routines using the U.S. or Canadian conventions for
calculations but routines using the European conventions are also
acceptable if the source code is available.
Thanks in advance!
Jean Vezina.
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