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Create a Zero Curve

The first step will to create a zero curve that reflects the current market data as of your valuation date.

The easiest way to do this is to use the Resolution zero curve calculator. Select Templates in the Resolution menu, then Zero Curve, then Swap Zero Curve. 

zero curve calculator

Just fill in the rows with the market data that you have available.

You might find our previous article on market data useful.

Select the Apporiate Swap Calculator

There is a number of pre-built calculators to handle most types of swaps. They can be found by clicking on Resolution, then templates, then Swaps.

swap calculators

For Vanilla or Bullet Swaps, no amortizing, single currency use the calculator named: IRS1 - Vanilla

For Amortizing Swaps, single currency use IRS2 - Custom1 These are particularly common when you are hedging a commercial loan or mortgage. 

For Amortizing Swaps, multi-currency, or compounding use IRS3 - Custom2

For Vanilla cross-currency swaps, use Currency Swap

Once you have the calculator open, copy the zero curve results from the swap zero curve calculator to the swap calculator. Then, fill in the contract details into swap calculator. The valuation, sensitivities and cashflows are then calculated.

swap calculator

 

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Free Trial

ResolutionPro is a derivative pricing library which supports the valuation, risk management and hedge accounting of derivatives & other financial instruments.

You can try ResolutionPro right now on a free trial basis.

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