Interest Rate Swap models
ResolutionPro’s Swap module provides support for the valuation and risk management of interest rate swaps and cross currency swaps. This component also includes a model for constructing a zero curve based on cash rates such as Eurodollar deposits & swap rates including LIBOR and EURIBOR.
Interest Rate Swap Pricing
- Price standard LIBOR swaps & cross-currency swaps
- Support for amortizing and accreting notional
- Compute par swap rates
- Zero curve construction based on a range of possible inputs
- Generate projected coupon payments, or enter a customized deal
- Calculate hedge effectiveness using dollar offset, regression or variance reduction.
- Run scenarios to see the effect of interest rate changes
- Calculate duration, convexity, and PV01
Resolution Pro Supports
- Fixed-Floating Interest Rate Swaps (IRS)
- Fixed-Fixed Swaps
- Cross Currency Swaps
- Amortizing Swaps
- Basis Swaps (Floating-Floating Swaps)
- Zero Coupon Swaps
Interest Rate Swap calculations:
- Mark-to Market
- Duration
- Convexity
- PV01
- Cashflows
- IAS 39 / FAS 133 Hedge effectiveness
- Par Swap Rates
- Build Zero Curves
Related Instrument Coverage (see Interest Rate Options (IRO)):
- Caps, Floors, Collars
- European Swaptions
- Bermudan Swaptions
- Cancellable Swaps
For more detailed technical information on swap pricing click on the following links:
Background to Interest Rate Swaps
Background to Currency Swaps