yrnd_functions19 days ago
yrnd | stir_future_price provides with the risk neutral density of the STIR futures price, using options on the STIR futures | stir_rate provides with the risk neutral density of the STIR rate implicit in the STIR futures price, using options on the STIR futures | bond_future_price provides with the risk neutral density of the government bond futures price, using options on the government bond futures | ctd_bond_yield provides with the risk neutral density of the yield to maturity of the Cheapest-to-Deliver Bond in a futures contract, using options on the government bond futures | proba_ctd provides, for each bond in the delivery basket of a government bond futures contact, its probability to be the cheapest to deliver bond at futures maturity.