SwapSpread™ – Asset Swap Calculator

Description

SwapSpread™ is an Excel-based calculator for pricing and structuring asset swaps using live market data from Bloomberg. The hallmarks of SwapSpread™ are its precision, speed, and ease of use.

Coverage

• Newly issued or existing bond
• Single or step-up fixed coupon structure
• European, Bermudan, American, or Canary call

Functionality

• SwapSpread™ automatically pulls in a live swap curve and swaption volatility matrix from Bloomberg and can compute the following:
  • Asset swap price
  • LIBOR spread
  • Fair coupon
  • 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: all versions of Excel