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
- 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
Resolution has a straight-forward and fair pricing model for its products which ensures that our customers receive excellent value to meet their specific needs.
For more information see our pricing plans.
Since everyone has different requirements, we would be more than happy to talk to you regarding a customisable pricing solution.
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.
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 cross-currency swap calculators.