Instrument Coverage

We strive to meet our customers' valuation needs. If you need additional coverage and/or market data please contact us. Our coverage is expanding continuously.

Interest Rate
Instruments Forward Rate Agreements Swaps Vanilla Non-generic Cross-currency Cancellable Swaps Caps & Floors Swaptions European Bermudan Credit Exposure & Credit Value Adjustment Exposure Measures Maximum Peak Expected Positive Effective Expected Effective Expected Positive Credit Value Adjustment Bilateral CVA Aggregate & detailed numbers available Coverage Vanilla Swaps Non-generic Swaps Integrated Curves USD Swap - LIBOR (London Close)* USD Swap - LIBOR (New York Close)* US Treasuries Curve GBP Swap - LIBOR EUR Swap - EURIBOR* EUR Swap - OIS JPY Swap - LIBOR AUD Swap CAD Swap - CDOR short end CAD Swap - dep short end CHF Swap - LIBOR DKK Swap - CIBOR NOK Swap - NIBOR NZD Swap - BKBM SEK Swap - STIBOR SGD Swap - SIBOR CZK Swap - PRIBOR PHP Swap - SHREF PLN Swap - WIBOR HKD Swap - HIBOR ZAR Swap - JIBAR AED Swap Curve (AEIBOR) HUF Swap Curve (BUBOR) KRW Swap Curve (CD) RUB Swap Curve (MOSPRIME) SAR Swap Curve (SAIBOR) THB Swap Curve (THBFIX) TRY Swap Curve (TRYIBOR) TWD Swap Curve (Comm Paper) * Futures available Note: Historical data is also available Tenor Basis Spread Adjusted Curves USD Swap - LIBOR GBP Swap - LIBOR EUR Swap - EURIBOR JPY Swap - LIBOR
Commodity
Instruments Forwards Options European American Asian Forward Strips Option Strips Curves Nymex Diesel - New York Harbor Gas - Natural* Gas - RBOB Oil - Crude* Oil - Heating* Comex Copper - High Grade Gold Silver *Can price using flat or implied volatility surface

Foreign Exchange
Instruments Forwards (with CVA) Options European American Cash Flow Streams European Option Strategies Straddles Butterflies Risk Reversals Other Combinations FX Rate Groups USD GBP EUR JPY AUD CAD CHF CZK DKK NOK NZD PHP SEK TRY
Bonds and Notes
Instruments Zero Coupon Bonds Level Coupon Bonds Floating Rate Notes
Reports
Types of Reports Trade Detail Portfolio Detail Trade Summary Portfolio Summary Workgroup Reports Scheduling Report Generation Email to distribution list Report Formats .pdf .html All reports can be exported to Excel
Money Market
Instruments Discount Securities Interest Bearing Securities
Utilities
Scenario Analysis Interest rate, FX and commodity scenarios are supported. Scenario(s) are set up and run against an individual trade or portfolio. A report makes it easy to see what the original and adjusted value of the portfolio is and which trade is contributing the most to the risk. Forward curves Users can generate the forward curve and view it in either a table or graphical format. When using the scenario capabilities the original and adjusted forward curves can be viewed. User Defined Curve Building Users can build their own interest rate curve using the data that FINCAD has available. This includes deposit rates, LIBOR fixings, futures, swaps or bonds. The curve can then be used to value any trades or portfolios that have been setup. The ability to automatically generate various reports is also available for any user defined curves.

All market data required to price or value the instruments above is included and integrated with the calculations.