Interest Rate Swap models
ResolutionProâ€™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 & crosscurrency 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
 FixedFloating Interest Rate Swaps (IRS)
 FixedFixed Swaps
 Cross Currency Swaps
 Amortizing Swaps
 Basis Swaps (FloatingFloating Swaps)
 Zero Coupon Swaps
Interest Rate Swap calculations:
 Markto 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
For more information see our pricing plans.



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.
 

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
 Value related derivatives such as FX options
 Calculate interest rate swap unwind values

Interest Rate Swap Calculator 
Interest Rate Swap valuation calculator
Interest Rate Swaps Excel
Resolution has a number of interest rate swap Excel calculators, including vanilla interest rate swaps, amortizing swaps, and crosscurrency swap calculators.

