FloatVal™ – Floating Rate and Structured Notes Valuation

Description

FloatVal™ is a software library for valuing floaters and structured notes. The hallmarks of FloatVal™ are its precision, speed, and ease of use.

Coverage

• Floating rate and structured notes:
  • Range floater
  • Inverse floater
  • Range accrual
  • Flip note
  • Percentage of LIBOR
  • Any of the above with call option:
    • European (one-time call)
    • Bermudan (multiple discrete calls)
    • American (continuous call)
  • Callable zero

Functionality

• Fair value 
• Option adjusted spread (OAS) (floating rate and structured notes only)
• Yield
• Modified duration/convexity/DV01
• Effective duration/convexity/DV01

Methodology

• Industry standard Black-Karasinski lognormal short rate model with user-specified short-term interest rate volatility and mean reversion
• Volatility structure is calibrated to matrix of at-the-money European swaption volatilities (available live from Bloomberg) and adjusted for skew using SABR model

Technical Specifications

• Platforms: Windows, Linux, Solaris, Mac OS X