SwapVal™

Valuation and risk analytics for interest rate derivatives

Coverage
  • Interest rate derivatives
  • Interest rate swaps
  • Asset swaps
  • Caps, floors, swaptions
Functionality
  • Fair value 
  • Fair spread to index
  • Implied volatility
  • Modified duration/convexity/DV01
  • Effective duration/convexity/DV01
API & Supported Platforms

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