PRODUCT INFORMATIONThere are eleven applications in this section for pricing interest rate derivatives. 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.
Cap valuation. This application values interest rate caps. There is an option to enter time varying notional principal to enable customisation of the cap to suit non-standard draw-down patterns.
Floor valuation. This application values interest rate floors. There is an option to enter time varying notional principal to enable customisation of the floor to suit non-standard draw-down patterns.
Collar valuation. This application values interest rate collars. There is an option to enter time varying notional principal to enable customisation of the collar to suit non-standard draw-down patterns.
Implied flat cap volatility. This application uses iteration to calculate implied flat cap volatility from cap price.
Implied flat floor volatility. This application uses iteration to calculate implied flat floor volatility from floor price.
Implied flat and spot cap volatilities. This application uses iteration to calculate implied flat and spot cap volatilities from caplet prices.
Implied flat and spot floor volatilities. This application uses iteration to calculate implied flat and spot floor volatilities from floorlet prices.
MORE PRODUCTS
Zero-cost collar cap-rate This application uses iteration to calculate the cap-rate for a zero-cost collar given the floor-rate.
Zero-cost collar floor-rate This application uses iteration to calculate the floor-rate for a zero-cost collar given the cap-rate.
Swaption valuation. This application values European-style options on swaps.
Implied swaption volatility This application uses iteration to calculate implied volatilities of swap options.
