Interest Rate

SOLUTIONS

Integrated Multi-Asset Portfolio and Risk Management

Interest Rate Derivatives Coverage
Interest Rate Derivative
  • Cross currency swaps, swaptions
  • Quanto swaps & swaptions
  • Trigger (knock-out) swaps
Option Styles
  • American
  • Bermudan
  • European
Caps and Floors
  • Vanilla
  • Averaging
  • Digital
  • User-defined
Swaps and Swaptions
  • Vanilla / amortizing 
  • Percentage of LIBOR
  • In-arrears
  • OIS / EONIA
  • Basis
  • Zero coupon
Models
  • Hull-White short rate (2-factor)
  • SABR
Utilities
  • Volatility bootstrapping
  • Credit value adjustment (CVA)
  • Credit exposure

Download a more detailed list of Interest Rate coverage (149 KB PDF)

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