|Swap @nalyst is the professionals tool of choice for flexible analysis of swaps.
Included in the package is the most advanced yield curve building technology
Build, analyze, and alter models for the term structure of interest rates.
- Build term structure from market instruments such as cash
rates, futures prices, and swap rates.
- Term structure can be represented as a zero-coupon yield
curve, a zero-coupon discount curve, or a forward-rate curve.
- Extract rates and discount factors with several
- Price FRA's and bonds; find a bond's spread over a yield
curve; analyze Brady bonds.
- Shift and pivot interest rate term structure.
- Price swaps, determine cash flows, or structure a swap to
be valued at par.
- Swaps can have any number of legs, and can involve
multiple currencies or multiple yield curves.
- Swaps can be specified concisely or each payment can be
- Includes support for arrears swaps, rollercoaster swaps,
and arbitrary fixed payments.
List of Functions