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Create .Net DLL and/or Matrices converting Mortgage Bond Prices to Yield (interest rate)

$750-1500 USD

Closed
Posted about 10 years ago

$750-1500 USD

Paid on delivery
Looking for someone who has a programming background who can take a data feed showing mortgage bond prices in dollars and convert it to yield (also known as BEY / interest rate) I am not familiar with the exact financial conversion calculation as mortgage bonds mature differently than typical bonds and have their own function, but I can provide a link to a comprehensive book and also data which would allow you to determine if your calculations are right. I would like this delivered in as a DLL that can be used in .Net environment and (if possible) would also like comprehensive tables/matricies that can provide a conversion factor for a given price, at a given coupon value, and maturity date. Here is a comprehensive book on Bonds and their calculations. To convert the BID into BEY we need a mortgage backed security formula [login to view URL] Below is a sample file showing the "BID BEY" percent. This is derived from the "BID" the "COUPON", and "TERM". Our new data file does not have "BID BEY" hence this requirement. "ITEM","RIC","STUB","TERM","COUPON","MONTH","DATE","TIME","BID","ASK","BID BEY" "FNMA 3.000 03","MBFNR3.000F360M1","MBFNR","360","3.000","03","03-Mar-2014","20:45","97.47100052","97.50225052","3.32810184" "FNMA 3.000 04","MBFNR3.000F360M2","MBFNR","360","3.000","04","03-Mar-2014","20:45","97.25463721","97.28588721","3.36008961" "FNMA 3.500 03","MBFNR3.500F360M1","MBFNR","360","3.500","03","03-Mar-2014","20:45","101.68263727","101.71388727","3.21754260" "FNMA 3.500 04","MBFNR3.500F360M2","MBFNR","360","3.500","04","03-Mar-2014","20:45","101.38722888","101.41847888","3.26051515" "FNMA 4.000 03","MBFNR4.000F360M1","MBFNR","360","4.000","03","03-Mar-2014","20:45","105.07568431","105.10693431","3.12133508" "FNMA 4.000 04","MBFNR4.000F360M2","MBFNR","360","4.000","04","03-Mar-2014","20:45","104.75683425","104.78808425","3.17084469" "FNMA 4.500 03","MBFNR4.500F360M1","MBFNR","360","4.500","03","03-Mar-2014","20:45","107.53835518","107.56960518","3.03831529" "FNMA 4.500 04","MBFNR4.500F360M2","MBFNR","360","4.500","04","03-Mar-2014","20:45","107.32921160","107.36046160","3.07351242" "FNMA 5.000 03","MBFNR5.000F360M1","MBFNR","360","5.000","03","03-Mar-2014","20:45","109.65287647","109.68412647","2.81450937" "FNMA 5.000 04","MBFNR5.000F360M2","MBFNR","360","5.000","04","03-Mar-2014","20:45","109.38964950","109.42089950","2.86556032" "FNMA 5.500 03","MBFNR5.500F360M1","MBFNR","360","5.500","03","03-Mar-2014","20:45","110.42266977","110.45391977","2.99724700" "FNMA 5.500 04","MBFNR5.500F360M2","MBFNR","360","5.500","04","03-Mar-2014","20:45","110.28041332","110.31166332","3.02545462" "FNMA 6.000 03","MBFNR6.000F360M1","MBFNR","360","6.000","03","03-Mar-2014","20:45","111.48799948","111.51924948","3.22619766" "FNMA 6.000 04","MBFNR6.000F360M2","MBFNR","360","6.000","04","03-Mar-2014","20:45","111.25433566","111.28558566","3.27345497" "FNMA 6.500 03","MBFNR6.500F360M1","MBFNR","360","6.500","03","03-Mar-2014","20:45","111.85107402","111.88232402","2.78115443" "FNMA 6.500 04","MBFNR6.500F360M2","MBFNR","360","6.500","04","03-Mar-2014","20:45","111.78429474","111.81554474","2.79708411" "GOLD 3.000 03","MBFRR3.000F360M1","MBFRR","360","3.000","03","03-Mar-2014","20:45","97.26419233","97.29544233","3.37057557" "GOLD 3.000 04","MBFRR3.000F360M2","MBFRR","360","3.000","04","03-Mar-2014","20:45","97.00912823","97.04037823","3.40855593" "GOLD 3.500 03","MBFRR3.500F360M1","MBFRR","360","3.500","03","03-Mar-2014","20:45","101.42194391","101.45319391","3.26887362" "GOLD 3.500 04","MBFRR3.500F360M2","MBFRR","360","3.500","04","03-Mar-2014","20:45","101.15369784","101.18494784","3.30842611" "GOLD 4.000 03","MBFRR4.000F360M1","MBFRR","360","4.000","03","03-Mar-2014","20:45","104.82531706","104.85656706","3.17484503"
Project ID: 5514049

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13 proposals
Remote project
Active 10 yrs ago

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13 freelancers are bidding on average $1,150 USD for this job
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$1,752 USD in 25 days
4.9 (47 reviews)
6.3
6.3
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Hi Sir, I am ready to work for you.I have 4 years of experience in C#/sql. please see some of my works also check my reviews you will get better idea about my skill.I deliver quality work within time frame. Please visit my profile once. Thanks with regards, Arpit
$1,250 USD in 20 days
4.9 (53 reviews)
5.7
5.7
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I own a Ph.D in Math and I have done several projects in Finance (for example, building an optimization website for a financial company). I can help you with your problem.
$1,250 USD in 20 days
5.0 (4 reviews)
5.6
5.6
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Hi, I am an MBA from one of the IIM's in India which are world famous management institutes. I have done a similar project for my Fixed Income Securities course although i did it in VBA and not .Net and for option embedded bonds and not mortgage backed securities. However, i have thorough knowledge of what needs to be done for mortgage backed securities and have a good grasp on .Net since in worked with TCS (India's largest IT company by revenues) for 4 years as a developer. I would love to take this project and deliver quality work to you. I can explain the project to you over Skype so that even you learn how to do it yourself in the future Thanks & Best Regards
$1,250 USD in 20 days
5.0 (16 reviews)
4.7
4.7
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Hi we are a software development company from india in past 8 years me & my Team developed approx 950 projects for global market , we try to satisfy clients needs . may be we ask lots of question about client requirement but when final output comes , the client must say , that's i need , we think for project personally & work for clients professionally & providing 18 hours services each day we did lots of similar kind applications we would like to discuss more about project ...so that we can know more about requirements Thanks
$833 USD in 8 days
5.0 (9 reviews)
3.8
3.8
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Hi, I have gone through your requirement carefully, and I have worked on project like this recently where there is hand-full of business logic calculation. I have seen your reference book in google-books which you have provided. As you have not provided what all section I need to go through to complete this project, so I need at least 10 days to go through the content of the book and complete the project. I will provide you the dll and database/configuration files which in future if the defined rates are changing then you can change the database /configuration so that it will reflect accordingly in the dlls. The dlls will totally be reusable which you can add to any .net project with the database/configuration file. If you have any other references you can provide that as well we can have an open discussion on the business logic. Thank you.
$750 USD in 10 days
5.0 (2 reviews)
1.2
1.2
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$1,250 USD in 20 days
0.0 (0 reviews)
0.0
0.0
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Have read over the document... the equations seem complex, but nothing that cannot be converted into algorithms. This would be quite an exciting challenge! I speak .NET (C# or VB) more than English nowadays, so the correct usage of signed variables and also variable sizes (the last thing we want to lose is precision) can be assured. I would definitely include the tables/matrices for calculations. I can see in the doc that they've provided the "Discount Factor" table, but this only goes up to a specific percentage and time-period. I'd actually provide the calculation so that any values can be thrown in (and cached during runtime for performance.) All source code would be provided and thoroughly documented. Note that I'm based in Australia, so I'd be working late nights to make sure that there was at least a few hours per day where we can communicate in real-time. Thanks, Steven.
$833 USD in 15 days
0.0 (0 reviews)
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Hi, I am one of the most qualified candidates that you might received for your projects. I have 13 years of .NET experience mainly in C# and have more importantly worked at major Securities firms in particular Risk Management systems for Fixed Income at Bank of America Merrill Lynch, Credit Suisse and Nomura Securities. I do not claim to be a financial expert but I was using financial models created by Quantitative Analyst to create valuation systems for Fixed Income traders. So I think given some time to digest the book you showed and with the test data I should be able to create the valuation dll. In addition, I am an advocate of Behavior Driven Development (BDD) so my solution will come complete with automated tests against the code I am writing. I have done this professionally by deploying a system recently that tests insurance calculation premiums against user input from the web interface and an web service (data feed) from a major US insurance carrier. I would love to discuss with you fully on the solution but I will require further information on how the data feed with be retrieved and also the matrices you mentioned. I would presume some data needs to be persisted for that to occurred. We might need to look into the nature and frequency of the feed to see caching for performance is a possibility. The final solution will also depend on the usage of the dll, will it be for web/application server usage or are you planning to use it for desktop applications.
$1,500 USD in 20 days
0.0 (0 reviews)
0.0
0.0
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Hello, I gone in your posting details and I can do this if you choose me for this task on budget and time. I am having 8+years of Experience with Design/Development and you can see my 100% complete rate and good feedback and ratings from clients here on freelancer And also Expert in Module creation and customization any task related Php/.net(web/desktop)/Java(Mobiles apps development/games/flash) framework I did 1000+ websites/applications and i am sure you will get best work in cheapest cost even i will give you unlimited updates until you get satisfied. For more details on your task and to see my similar portfolio please contact me. Waiting for your valuable response! Thanks
$1,159 USD in 20 days
0.0 (0 reviews)
0.0
0.0
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I am a current software engineering and finance student, this sort of work is very familiar to me. Similar to a lot of work that I have done myself (to do with financial models).
$833 USD in 7 days
0.0 (0 reviews)
0.0
0.0
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Hi from Michigan. I have taken advanced math classes so this looks simple enough. But what I want to understand is that you want a DLL the will take mortgage bond prices in dollars and convert it to yield. And you want that DLL to be documented such that it can be used by any Windows or .Net programming language. Do I have that right? Thanks Eric
$1,494 USD in 20 days
0.0 (0 reviews)
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