Derivative Solutions

Interest Rate Derivatives Coverage

INTEREST RATE DERIVATIVEOPTION STYLES
  • Cross currency swaps, swaptions
  • Quanto swaps & swaptions
  • Trigger (knock-out) swaps
  • American
  • Bermudan
  • European
CAPS / FLOORSSWAPS & SWAPTIONS
  • Vanilla
  • Averaging
  • Digital
  • User-defined
  • Vanilla / amortizing
  • Percentage of LIBOR
  • In-arrears
  • OIS / EONIA
  • Basis
  • Zero coupon
MODELSUTILITIES
  • Hull-White short rate (2-factor)
  • SABR
  • Volatility bootstrapping
  • Credit Value Adjustment (CVA)
  • Credit Exposure

Download a more detailed list of Interest Rate coverage (149 KB PDF)