The aim of the Software section is to provide software including pseudo code, Matlab and C/C++ programs, Excel/VBA files, etc., used in valuation and risk analysis of fixed income securities and their derivatives, and for fixed income risk management.
Try our freely downloadable userfriendly Excel/VBA spreadsheets on i) a variety of interest rate risk models for portfolio risk management (e.g., duration, convexity, key rate durations, principal component durations, etc.), ii) a variety of dynamic term structure models for pricing interest rate derivatives (e.g., Vasicek, CIR, multifactor affine and quadratic models, Libor Market Models, etc.), and iii) a variety of structural and reducedform models for pricing credit derivatives (e.g., Merton, KMV, Longstaff and Schwartz, CollinDufresne and Goldstein, Duffie and Singleton, etc.). Install the software by downloading and executing the .exe file and then follow the onscreen instructions. The software requires Windows XP or later and Excel XP or later. Also, "enable" the Macros when you open the Excel files.
Submissions of software files in all areas of fixed income can be sent electronically to our contact email: team.fixedincomerisk@gmail.com
Interest Rate Risk Modeling: The Fixed Income Valuation Course  Nawalkha, Soto, Beliaeva You can use the software accompanying this book to estimate a yield curve, compute nonparallel interest rate risk measures for bonds and a variety of interest rate derivatives, implement passive portfolio strategies, such as immunization and bond index replication, and implement speculative strategies based on expected yieldcurve movements. Download a single file for all the models here or download separate files from the following list:

Dynamic Term Structure Modeling: The Fixed Income Valuation Course  Nawalkha, Beliaeva, Soto You can use the software accompanying this book to value American interest rate derivatives by building interest rate trees for lowdimensional affine models, as well as value European interest rate derivatives using quasianalytical formulas for higherdimensional affine, quadratic, and LIBOR market models. Download a single file for all the models here or download separate files from the following list: 
Download the software for the following guides:
