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Interest Rate Derivatives
The Interest Rate Derivatives component consists of a collection of Microsoft Excel functions for creating zero coupon curves. The output of these curves is then used to price and value a range of derivative instruments. A suite of powerful and easy to use workbooks have been created using these functions.
Zero Curve Builder
The Zero Curve Builder workbook allows zero coupon curves for number of currencies to be defined
simultaneously for use in pricing and valuation. Curves can be built from a combination of
cash rates, futures prices and swap rates. Users can choose the number of futures to be
used thus defining the blend point for the curve. A convexity bias can also be applied
to futures prices. Curve output can be displayed in tabular or graphical format.
Vanilla Swap Pricing
The Vanilla Swap Pricing workbook allows up to 20 vanilla swaps for a single currency to be priced in each worksheet.
Vanilla Swap Valuation
The Vanilla Swap Valuation workbook values up to 20 vanilla swaps for a single currency in each worksheet.
Exotic Swap
The Exotic Swap Pricing workbook prices a single structured swap in each worksheet. These
include amortising, accreting, rollercoaster, annuity and asset matching swaps.
Currency Swap
The Currency Swap Pricing workbook prices a single currency swap in each
worksheet. These vanilla and structured swaps for fixed/floating and fixed/fixed
structures.
Vanilla Cap/Floor
The Vanilla Cap/Floor Pricing workbook prices up to 15 caps and floors for a single currency on each worksheet. The selected cap or floor is displayed in a Quick Calculator area at the bottom of the workbook which shows the greeks and includes an implied volatility calculator.
Structured Cap/Floor
The Structured Cap/Floor Pricing workbook allows a single structured cap or
floor to be priced on each worksheet. The overall cap or floor premium is
displayed in both percentage and cash terms along with the premium for each
caplet. In addition, the discount factor and FRA price for the term of
each caplet is also displayed.
Trigger Cap/Floor
Price a structure containing vanilla and binary caps and floors. Zero-cost
and user-defined structures can easily be created.
Swap Option
The Swap Option Pricing workbook allows up to 15 swap options for a single currency to be priced on each worksheet. The selected option is displayed in a Quick Calculator area at the bottom of the workbook which shows the greeks and includes an implied volatility calculator.
FRA Pricing
The FRA Pricing workbook displays prices for 3, 6, 9 and 12 month calendar and IMM runs as well as a broken date panel showing a FRA price for each day in the start month of the selected calendar run FRA. In addition, an odd date panel is available for calculation of FRAs for other periods and dates.
Implied Forwards Curve
The Implied Forwards Curve workbook provides a view of the forward interest rates
for a given market as implied by the current term structure of interest rates. It
can be used as a decision making tool when deciding upon a hedging or speculation strategy.