SwapVal™ Valuation Library

SwapVal™ is a software library for valuing interest rate derivatives, floaters, and structured notes. The hallmarks of SwapSpread™ 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
      • One-time call (European)
      • Multiple discrete calls (Bermudan)
      • Continuous call (American)
    • Callable zero
  • Interest Rate Derivatives
    • Interest rate swaps
    • Asset swap with following asset leg structures:
      • Fixed or step coupon
      • Any of the structures listed above
    • BMA swap
    • Any of the above with European or Bermudan cancellation option
    • Caps, floors, swaptions

Functionality

  • Fair value
  • Option-adjusted spread (floating rate and structured notes only)
  • Effective duration and convexity
  • Yield, modified duration and convexity

Valuation Model

  • Industry standard Black-Karasinski lognormal short rate model
  • Volatility structure is calibrated to matrix of at-the-money European swaption volatilities and adjusted for skew using SABR model

Supported Platforms

  • Windows NT, 2000, or XP
  • Solaris
  • Linux