Interest Rate Derivative Software
Resolution's software ResolutionPro comes with a full suite of models for the pricing of interest rate derivatives to support front-office trading, risk management and hedge accounting.
ResolutionPro is a collection of simple, easy to use functions and calculators for the valuation and risk management of interest rate derivatives . All functions are fully documented and accompanied by a series of comprehensive examples that set out all of the relevant intermediate results. Models are available for use in Excel or to be integrated within other systems.
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.
- Price standard LIBOR swaps & cross-currency swaps
- Support for amortizing and accreting notional
- Calculate 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
Learn more of ResolutionPro's Swap module.
Interest Rate Options
Resolution coverage includes swaption valuation and cap floor pricing.
Instruments covered
- European Swaptions
- Bermudan Swaptions
- Interest Rate Caps
- Interest Rate Floors
- Interest Rate Collars
- Barrier Caps
- Variable maturity swaps
- Callable Bonds
- Bond Options
Learn more about Resolutions IR Option module
Zero Curve Construction
Resolution provides tools for building zero curves from market rates. The finished swap zero curve is then used for derivative calculations.