FloatVal™
A software library for valuing floaters and structured notes
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
- Fair value
- Option adjusted spread (OAS)
- Yield
- Modified duration/convexity/DV01
- Effective duration/convexity/DV01
