PRODUCT INFORMATIONThere are eight applications in this section for calculating value-at-risk for fixed income securities using cash-flow mapping. The descriptions in this section are brief. Click on the respective application link button to get to the application site, then click on the valuation procedure link for more details.
Fixed coupon bond cash-flow-mapping and value-at-risk. This application calculates value-at-risk for a fixed coupon bond by decomposing its cashflows and mapping them to standard maturity zero-coupon bonds.
Floating coupon bond cash-flow-mapping and value-at-risk. This application calculates value-at-risk for a floating coupon bond by decomposing its cashflows and mapping them to standard maturity zero-coupon bonds.
Vanilla interest rate swap cash-flow-mapping and value-at-risk. This application calculates value-at-risk for a customisable vanilla interest rate swap by decomposing its cash-flows and mapping them to standard maturity zero-coupon bonds.
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Currency forward contract cash-flow-mapping and value-at-risk. This application calculates value-at-risk for currency forward contract by decomposing its cash-flows and mapping them to domestic standard maturity zero-coupon bonds, and foreign standard maturity zero-coupon bonds taking into account their interactions through exchange rates.
Fixed-for-fixed currency swap cash-flow-mapping and value-at-risk. This application calculates value-at-risk for a fixed-for-fixed currency swap by decomposing its cash-flows and mapping them to domestic standard maturity zero-coupon bonds, and foreign standard maturity zero-coupon bonds taking into account their interactions through exchange rates.
Fixed-domestic-rate cross currency swap cash-flow-mapping and value-at-risk. This application calculates value-at-risk for a fixed-domestic-rate cross currency swap by decomposing its cash-flows and mapping them to domestic standard maturity zero-coupon bonds, and foreign standard maturity zero-coupon bonds taking into account their interactions through exchange rates.
Fixed-foreign-rate cross currency swap cash-flow-mapping and value-at-risk. This application calculates value-at-risk for a fixed-foreign-rate cross currency swap by decomposing its cash-flows and mapping them to domestic standard maturity zero-coupon bonds, and foreign standard maturity zero-coupon bonds taking into account their interactions through exchange rates.
Floating-for-floating currency swap cash-flow-mapping and value-at-risk. This application calculates value-at-risk for a floating-for-floating currency swap by decomposing its cash-flows and mapping them to domestic standard maturity zero-coupon bonds, and foreign standard maturity zero-coupon bonds taking into account their interactions through exchange rates.
