Interest rate derivatives module
Calculate value and risk metrics of interest rate derivatives, perform stress scenarios and validate models using 131 functions, 11 Excel workbooks containing examples, manual calculations and templates included in this module.
Instrument coverage and functionality
131 functions related to interest rate derivativesFunctions in this module calculate value, risk metrics (Macaulay Duration, Modified Duration and DV01) and additional outputs such as par swap rate of the following types of interest rate derivatives (including amortizing schedule):
- Forward Rate Agreement (FRA)
- Interest Rate Swap (IRS) – including amortized
- Basis Swap
- Overnight Index Swap
- Cross Currency Swap
- Cap/Floor
- Swaption
Excel examples and templates
15 Excel workbooks with dozens of spreadsheets illustrating the use of functions and their various implementations.3 Excel workbooks accompanied with the module include examples of all functions related to interest rate derivatives. We recommend to use the relevant workbooks before your first use of the specific function.
By one click a table including forward rates, cash flows, discount factors and discounted cash flows is generated.
11 Excel workbooks include examples in which manual calculations are shown and their results are compared to the ones of the functions.
The additional Excel workbook include templates, illustrating possible implementation of the functions – stress scenarios of the interest rate derivatives portfolio.
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Windows 7 – 10
Frequent questions
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.
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 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.
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.