This is a very small project related to finance by using excel as well.
Here is basic concept:
•Design and implement the functions to build a zero curve.
o BuildZeroCurve
The curve should take prices of liquid market instruments as inputs:
•Cash Rates
•Futures Prices
•Swaps Rates
Please refer to attachments Curve Example and Tokyo Holiday for detail input requirements.
•GetDiscountFactor
For a given curve, GetDiscountFactor will return the discount factor for an input date.
•Submission requirements:
oVC++ project readily rebuilding the application
oHigh level pseudocode for key functions
oInput formats and sample working input file
oAll assumptions
oUser guide including an example of usage
I am a new C++ programmer, have no idea how to do this. If someone is interested in this job, please contact with me at brucynew@gmail.com.