Whether you are a swaps dealer or working in a corporate treasury, FINCAD XL gives you the power to do all of your interest rate derivatives analysis on a spreadsheet, with the option of using our professionally designed and developed workbook solutions.
Create benchmark curves using money market, futures, swap and bond quotes from any jurisdiction in the world. Mark-to-market interest rate portfolios.
Coverage
- amortizing swaps
- accrual swaps
- asset swaps
- average rate caps, floors, swaptions
- basis swaps and swaptions
- bermudan / american swaps
- Brazilian swaps
- callable capped floater swaps
- callable inverse floater swaps
- callable range accrual swaps
- callable snowball notes
- CMS swaps, caps and floors
- CMS spread swaps, swaptions
- compounding swaps
- cross currency swaps and swaptions
- digital caps and floors
- OIS / EONIA swaps
- par swap analysis
- percentage of LIBOR swaps and swaptions
- quanto swaps and swaptions
- snowballs
- term structure calibration
- vanilla swaps, caps, swaptions
- variance and volatility swaps
- volatility bootstrapping (caps and floors)
- zero coupon swaps
Models
- LIBOR Market Model (BGM/J) with local volatility
- 1, 2-factor short rate models:
- - Hull White and Black Karasinksi
- - Two-Additive-Factor Gaussian
Related Coverage
- convertible bonds
- corporate and government bonds
- credit derivatives
- curve building
- fixed income derivatives
- floating rate notes
- fx forwards and options
- value-at-Risk (VaR)
Download a Datasheet on Interest Rates(PDF)
Download Interest Rate Curve Datasheet (PDF)
Screenshot example of the Function Finder
