Financial Instruments

Interest Rate Derivatives (IRD)

Functions

Single currency instruments (75 functions)

Interest Rate Derivatives module: summary table with outputs of the Single Currency Instruments functions

Cross currency instruments (56 functions)

Interest Rate Derivatives module: summary table with outputs of the Cross Currency Instruments functions

Generic swaps (7 functions)

Interest Rate Derivatives module: summary table with outputs of the Generic Swaps functions

Workbooks-Examples

  • GIA_IRD_Examples_SingleCurrency
  • GIA_IRD_Examples_CrossCurrency
  • GIA_IRD_Examples_SwapsGenericFunctions

Workbooks – Templates

  • GIA_IRD_Templates_Portfolios

Workbooks – Manual Calculations

  • GIA_IRD_ManualCalculations_IRSFixedFloat
  • GIA_IRD_ManualCalculations_IRSFloatFixed
  • GIA_IRD_ManualCalculations_BasisSwap
  • GIA_IRD_ManualCalculations_OISFixedFloat
  • GIA_IRD_ManualCalculations_OISFloatFixed
  • GIA_IRD_ManualCalculations_CapFloor
  • GIA_IRD_ManualCalculations_Swaption
  • GIA_IRD_ManualCalculations_CCSFixedFixed
  • GIA_IRD_ManualCalculations_CCSFloatFloat
  • GIA_IRD_ManualCalculations_CCSFixedFloat
  • GIA_IRD_ManualCalculations_CCSFloatFixed