Interest Rate Curves
FINCAD Analytics makes it easy to build interest rate curves using a variety of appropriate data. Various bootstrapping methods are available for each type of curve.
Learn more about setting up curves in FINCAD Analytics Suite for Excel workbooks!
Swap Curves (LIBOR)
Calculate a discount factor and spot rate curve using cash rates, future or FRA rates and jurisdictional specific vanilla par swaps.
Bond Curves
Calculate a discount factor and spot rate curve using cash rates, future or FRA rates, and bond prices (the bond may have odd dates).
Tax-Exempt (Municipal) Swap Curves
Calculate implied forward rates from a discount factor curve built using the Municipal Swap Index (SIFMA/BMA) for pricing tax-exempt swaps and bonds.
Inflation Curves
Build using jurisdictional inflation linked bonds or inflation swap rates.
Default Probability Curves
Price Credit-Contingent interest rate swaps and/or credit derivatives.
Interest Rate Volatility Curves
Using Black model, bootstrap spot volatilities of forward rates using caps/floors.
