FAQ — Interest Rate Derivatives

Are nonlinear interest rate derivatives covered in GIAnalyzer?

Yes, interest rate options such as swaption and cap/floor are among financial instruments covered in GIAnalyzer.

What is the purpose of GIA_IRD_ManualCalculations_XXXX files?

In these workbooks calculations of value and risk metrics are made manually and compared to the function results, in order to illustrate the “behind the scenes” calculations of the functions and to validate the function results.

How many interest rate curves are used in cross currency swap valuation?

It depends on the type of the cross currency swap. In fixed-fixed swaps two curves are used (one curve for discounting cash flows of each leg). In the basis cross currency swap, however, four interest rate curve are used (two for discounting and two for forward rate calculations).

What is the preferred calculation mode – automatic or manual, working with functions in this module?

It depends on the file you are working with but usually the manual mode is preferred working with interest rate derivatives.