Workbooks

FINCAD Analytics Suite for Excel includes over 200 professionally-designed workbooks.  These workbooks are designed to make it easier for you to get started as they include all the necessary functions in one place for calculation of not only fair value but also risk and discount factors.  For example: The Interest Rate Swap Portfolio workbook provides detailed inputs and outputs:

  1. Swap Portfolio - Trade Details
  2. Portfolio Cash Flows
  3. Individual Cash Flows
  4. Credit Exposure Report and Exposure Profile
  5. Credit Exposure Graphs
  6. Swap Zero Curve
  7. Holiday Calendars

Each tab allows you to customize and control the variables that affect individual trades or the entire portfolio

Integrated With Market Data

All of the workbooks in FINCAD Analytics Suite for Excel are built with the ability to accept user-entered data, or they can conveniently import and use market data from external sources (FINCAD Market Data or Bloomberg Finance LP*). Once you have an account with one of these data providers you can pull the data you need into your workbook with a click of a button.  Market data from any source can also be used once it is downloaded into a spreadsheet.

Flexible

  • Use one of the workbooks included with the Suite
  • Create your own customized workbooks by embedding FINCAD functions
  • FINCAD's Professional Services can create a customized workbook for your unique needs

Some of the Workbooks Included:

Fixed Income (Bonds & Curves)

  • Bonds - Forwards and Futures
  • Level Coupon Bonds
  • Amortizing / Step-Up / Sinking Bonds
  • Bond Portfolios & Series
  • Money Market Instruments
  • Government Debt - Fixed Rate
  • Government Debt - Floating Rate
  • Government Debt - Inflation Linked
  • Curves - Treasury & Bonds
  • Utilities

Floating Rate Notes

  • Amortizing or Odd-Structured
  • Averaging
  • Callable
  • Constant Maturity
  • Government Debt
  • In-Arrears
  • Vanilla / Compounding
  • Vanilla / Non-Compounding
  • % of LIBOR

Mortgage Backed Securities

  • Fixed-Rate Passthroughs
  • Planned Amortization Classes (PACs)
  • Companion PACs
  • Targeted Amortization Classes (TACs)
  • Companion TACs
  • Sequential / Pro-rata / Accrual Bonds
  • Utilities

Credit

  • Cash CDOs
  • CDS on Single Entity
  • CDS on Basket of Entities
  • Credit Default Index Swaps
  • CDS - Custom Structured Premium Coupons
  • CDS Options
  • Synthetic CDOs (single tranche CDOs)
  • Credit-linked Notes and Rating Sensitive Notes
  • Total Return Swaps
  • Credit Spread Options and Forwards
  • Asset Swaps
  • Utilities

Municipal / Tax Exempt Instruments

  • Bonds - Fixed Rate Debt
  • Bonds - Floating Rate Debt / Swap Floating Legs
  • Muni Swap Curve
  • Caps and Floors
  • Swaps
  • Swaptions

 

Fixed Income (Derivatives)

  • Callable Bonds
  • Convertible Bonds
  • Equity Index-Linked Bonds
  • LIBOR Exotics (Callable and Non-Callable)

Inflation-Indexed Securities

  • Inflation-Linked Bonds
  • Inflation Curves
  • Inflation Swaps

Commodity, Equity & FX Derivatives

  • Forwards / Futures, Swaps, Swaptions
  • Vanilla Options (Lognormal)
  • Vanilla / Exotic Options (Local Volatility)
  • Vanilla / Exotic Options (Stochastic Volatility)
  • Exotic Options (Lognormal)
  • Convertible Bonds
  • Equity Forwards, Futures and Swaps
  • Utilities
  • Employee Stock Options
  • Warrants
  • FX Forwards and Futures
  • FX Option Models
  • PRDCs

Interest Rate Curves

  • Swap Curve Generation
  • Bond Curve Generation
  • Curve Smoothing and Manipulation
  • Discount Factor <-> Rate Conversion
  • Forward / Spot Rates
  • Rate to Rate Conversion

Interest Rate Derivatives

  • Swaps
  • Fixed Legs
  • Floating Legs
  • Swaptions & Callable Swaps
  • Caps and Floors
  • IR Model Calibration
  • Vanilla Options (Calls / Puts)

Risk Measurement

  • Credit Exposure
  • Value at Risk

Volatility

  • Options on Variance
  • Variance and Volatility Swaps
  • Smile Utilities

Utilities

  • Accrual / Day Count
  • Date - Adjustment, Conversion, Generation
  • Discount Factor <-> Rate Conversion
  • Forward / Spot Rates
  • Interpolation
  • Matrices
  • Present Value of Cashflows
  • Rate to Rate Conversion
  • Short Rate
  • Statistical
  • Volatility and Correlation
  • Yield to Maturity
  • Other

Note: this is not an exhaustive list. If you don't see what you need please contact your FINCAD representative.

If you would like more information about workbooks in FINCAD Analytics Suite for Excel, contact your FINCAD representative.

 

* Bloomberg is a trademark of Bloomberg Finance LP. FINCAD is not associated in any way with Bloomberg Finance LP.

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