Chapter 3 Modelling Financial Instruments

After a short detour on the nature of data sources for financial instruments, we model a real-life example of a straight fixed coupon bond. For most information items, this example is illustrative and variations can easily be derived from looking at the appropriate code list domains. A particular challenge is the modelling of cash flow structures, one of the most important, but also most complicated aspects of financial instruments. We therefore present the principles of cash flow modelling and discuss the modelling of cash flows for an illustrative set of instrument types.

3.1 Modelling Financial Instruments

With the data model at hand, we can now use it to represent information on real financial ...

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