Swap Higlights

Tools manipulating yield curves and analyzing and structuring swaps. Functions support vanilla and complex swaps including roller coaster and amortizing swaps and allow an unlimited number of swap legs. Almost all parameters may be customized: payment, reset and accrual dates can be arbitrary. Multiple currencies and yield curves, independent rate tenors and swap frequencies and fixed, floating and floating arrears payments are all supported. Included are advanced features such as convexity correction and turn of year effects.
Capable of constructing yield curves from combinations of spot rates, futures, par swap rates, par bond yields. Also prices bonds (including Bradys) off of yield curves.

List of Functions