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.
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.
