INTEREST RATE

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IR Swaps Construction (Money Market, IMM, FRA, Swaps):

Includes the full Yield Curve model

This is a typical IR Swap builder using (ice) money market instruments, FRA's, IMM and quoted IR Swap curves. The method uses the liquid part of the money market curve, the relevant FRA’s and IMM instruments and a set of IR Swaps curves. The FRA and IMM instruments are favoured over Cash or IR Swaps. The interpolation method is self-consistent interpolating all coupon payments according to the quoted interest rates. There are three interpolation methods for the discount curve. This model can be created in the Excel add-in, or the model is represented as a set of C# files ready for compilation. The model uses a continuous Zero-Coupon Yield Curve and a constant volatility to maturity. No provision for a maturity volatility dependence or volatility surfaces. The model relies on Day Count, Floating Bond Convention, Notional, LIBOR Spread, and calculates Fixed / Floating Price, Annuity and Forward LIBOR.

 

IR Yield Curve Construction (Money Market, IMM, FRA, Swaps):

This is a Yield Curve builder using (ICE) money market instruments, FRA's, IMM and quoted Swap Curves. The method uses the liquid part of the money market curve, the relevant FRA’s and IMM instruments (mostly USD) and a set of Swaps Curves. The FRA and IMM instruments are favoured and so are the quoted IR Swaps. The interpolation method is self-consistent interpolating all coupon payments according to the quoted IR Swaps rates. For details see website. There are three interpolating methods for the discount curve.

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IR Analytical Swaption Construction (Cash, Physical, Yield Curve MM, IMM, FRA, Swaps):

Includes the full IR Swaps Builder & Full Yield Curve Builder

This model is an analytical Swaption builder using (ICE) Money Market instruments, FRA's, IMM and quoted Swap Curves. The Swaption volatility is captured by an analytical Black model using the appropriate IR Swap Forward. The Yield Curve building uses the liquid part of the money market curve, the relevant FRA’s and IMM instruments and a set of Swaps Curves. The FRA and IMM instruments are favoured and so are the quoted IR Swaps. The interpolation method is self-consistent interpolating all coupon payments according to the quoted interest rates. For details see website. There are three methods of interpolating for the discount curve.

 

IR Analytical Cap/Floor Construction (money market, IMM, FRA, Swaps):

Includes the Full IR Cap/Floor Builder with Full Yield Curve Builder

This model is an analytical cap/floor builder using (ice) money market instruments, FRA's, IMM and quoted swap curves. The cap/floor volatility is captured by an analytical black model using the appropriate IR cap/floor forward. The Yield Curve building uses the liquid part of the money market curve, the relevant FRA’s and IMM instruments (mostly USD) and a set of swaps curves. The FRA and IMM instruments are favoured and so are the quoted IR swaps. The interpolation method is self-consistent interpolating all coupon payments according to the quoted interest rates. This model can be created in the Excel add-in, or the model is represented as a set of C# files ready for compilation. There are three methods of interpolating for the discount curve. There are three interpolation methods for the discount curve. The model uses a continuous Zero-Coupon Yield Curve and a constant volatility to maturity. No provision for a maturity volatility dependence or volatility surfaces. The model relies on Day Count, Floating Bond Convention, Notional, LIBOR Spread, and calculates Fixed / Floating Price, Annuity and Forward LIBOR.

 

IR Analytical Cancellable Swap Construction (Cash, Physical, Yield Curve MM, IMM, FRA, Swaps:

Includes the full IR Swaps Builder and Full Yield Curve Builder

This model is an analytical Swap and Swaption builder using (ICE) money market instruments, FRA's, IMM and quoted swap curves. The swaption volatility is captured by an analytical black model using the appropriate IR Swap Forward. The Yield Curve building uses the liquid part of the money market curve, the relevant FRA’S and IMM instruments (mostly USD) and a set of Swaps Curves. The FRA and IMM instruments are favoured and so are the quoted IR Swaps. The interpolation method is self-consistent interpolating all coupon payments according to the quoted interest rates. This model can be created in the Excel add-in, or the model is represented as a set of C# files ready for compilation. There are three methods of interpolating for the discount curve. The model uses a continuous Zero-Coupon Yield Curve and a constant volatility to maturity. No provision for a maturity volatility dependence or volatility surfaces. The model relies on Day Count, Floating Bond Convention, Notional, LIBOR Spread, and calculates Fixed / Floating Price, Annuity and Forward LIBOR.