SwapVal™ – Interest Rate Derivative Valuation

Description

SwapVal™ is a software library for valuing interest rate derivatives, floaters, and structured notes. The hallmarks of SwapVal™ are its precision, speed, and ease of use.

Coverage

• Interest rate derivatives:
  • Interest rate swaps
  • Asset swap with following asset leg structures:
    • Fixed or step coupon
    • Any of the structures listed above
  • BMA swap
  • Any of the above with European or Bermudan cancellation option
  • Caps, floors, swaptions

Functionality

• Fair value 
• Modified duration/convexity/DV01
• Effective duration/convexity/DV01

Methodology

• Industry standard Black-Karasinski lognormal short rate model with user-specified short-term interest rate volatility and mean reversion
• Volatility structure is calibrated to matrix of at-the-money European swaption volatilities (available live from Bloomberg) and adjusted for skew using SABR model

Technical Specifications

• Platforms: Windows, Linux, Solaris, Mac OS X