An interest rate swap is where one company exchanges a series of coupons in exchange for another series of coupons from another company. Typically, one party exchanges a series of fixed coupons for a series of floating coupons based on an index, in what is known as a vanilla interest rate swap. 

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

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.

Licenses for ResolutionPro are competitively priced and require no recurring licensing costs.