FloatVal

A software library for valuing floaters and structured notes

Floating rate and structured notes:

  • Range floater
  • Inverse floater
  • Range accrual
  • Flip note
  • Percentage of LIBOR
  • Any of the above with call option:
    • European (one-time call)
    • Bermudan (multiple discrete calls)
    • American (continuous call)
  • Callable zero
  • Fair value 
  • Option adjusted spread (OAS)
  • Yield
  • Modified duration/convexity/DV01
  • Effective duration/convexity/DV01