Interest Rate Derivatives pricing library for my master's thesis in Economics af the department of Economics, University of Copenhagen. An example of how to use the code in the library can be found in "ImplementationExample.xlsb" and "MastersThesisAddIn.xll". The path to the xll has to be set within "ImplementationExample.xlsb", and has to be loaded by the click of a button. The library contains functionality to calibrate zero-coupon curves from a set of market quotes (as of 31st of January, 2017) and some functionality to calculate risk on a set of linear interest rate products defined within the application. Also, the library contains and implementation of automatic differentiation.

If the repository is cloned, a couple of additional C# packages, such as the AlgLib and Math.NET Numerics libraries, has to be installed for the code to compile. This should be easy to do using Visual Studio.