Resolution - the authority on derivative pricing Resolution - specialising in providing pricing and risk analytics for financial securities
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ResolutionSwaps

ResolutionSwaps provides support for the valuation and risk management of standard interest rate swaps and cross currency swaps. This component also includes a model for constructing an integrated zero curve based on input cash rates and swap rates.

Main Features

  • Price standard swaps and cross-currency swaps
  • Support for amortizing and accreting notional's
  • Compute par swap rates
  • Zero curve construction based on a range of possible inputs
  • Several interpolation methods supported
  • Price a generic bond using the constructed zero curve
  • Generate projected coupon payments, or enter a customized deal

For more detailed technical information on swap pricing click on the following links:

Background to Interest Rate Swaps

Background to Currency Swaps

 

Purchase

Resolution aims to deliver our customers excellent value without compromising on quality.

  Monthly subscription 
(min 1 year subscription)
Purchase of licence
ResolutionSwaps
USD $50/mnth
USD $900

Since everyone has different requirements, we would be more than happy to talk to you regarding a customisable pricing solution. Contact us today.

 

Benefits

With ResolutionSwaps you are able to;

  • Examine the projected cash flows for both legs of a swap deal
  • Understand the hedging consequences of custom swap deals
  • Model the cash flow effects for a range of interest rate scenarios
  • Build integrated zero curves from a combination of cash and swap rates
Screen shot of a ResolutionPro Example
Click to enlarge

Trial

You can also download and evaluate fully-functional models on a 5-day free trial basis. For information on our evaluation policy click here.

 
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