Interest Rate Derivatives Coverage
Advanced and vanilla interest rate coverage - includes CMS spreads, dual range accruals, snowballs and PRDCs. Uses interest rate models for exotic IR products and hybrids such as multi-factor term structure, LIBOR Market Model (LMM) and SABR.
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Interest Rate Coverage:
INTEREST RATE DERIVATIVE | INTEREST RATE / FX |
- TARN notes & swaps (call/put)
- Snowball notes & swaps (call/put)
- Snowblade swaps (call/put)
- Snowrange notes (call/put)
- Cross currency swaps, swaptions
- Quanto swaps & swaptions
- CMS spread notes & swaps
- CMS spread TARN notes & swaps
- CMS TARN swaps
- CMS TARNS
- Trigger (knock-out) swaps
- Dual Range Accrual
|
- Power Reverse Dual Currency (PRDC) note
- PRDC Targeted Redemption note
- Dual Range Accrual
|
SWAPS & SWAPTIONS |
- Vanilla / amortizing
- Percentage of LIBOR
- In-arrears
- OIS / EONIA
- Basis
- Zero coupon
|
CAPS / FLOORS | OPTION STYLES |
- Vanilla
- Averaging
- Digital
- User-defi ned
- CMS spread
|
- American
- Bermudan
- European
|
MODELS | UTILITIES |
- Hull-White short rate (2-factor)
- LIBOR Market Model (BGM)
- SABR
|
- Volatility bootstrapping
- Credit Value Adjustment (CVA)
- Credit Exposure
|
Download a more detailed list of Interest Rate coverage (61KB PDF)
