INTERMARK SWAPS

The swap add-in provides analytics for the valuation of currency and interest rate swaps. The add-in builds a term structure of interest rates and a volatility curve for each currency being monitored. It uses a proprietary boot strapping mechanism to calculate zero-curve yields and discount factors from deposit rates, future rates and/or swap rates. A flexible curve fitting approach allows the users to select least squares, cubic splining, straight line or exponential algorithms. The system can also generate fixed or floating leg cash flows after taking account of the holiday calendar(s), accrual day count and business day conventions. It is a generic calculation tool which can value any swaps based on cash flows, such as: 

Amortizing Swaps Cross Currency Compounding Dual Currency Extendable Forward (deferred) Interest Rate Putable Rollercoaster Zero Coupon 

The swap add-in calculates each leg of the swap separately. This provides the users a flexible analytical environment and empowers them to set up a required swap structure e.g. fixed to floating, fixed to fixed or floating to floating. 

The software is used by dealers, brokers, risk managers and accountants to evaluate the prices being quoted by the counterparty and to identify the arbitrage opportunities. Multi-currency portfolios of swaps, FRAs, IRGs, caps/floors/collars are continuously marked to market to improve profit and loss monitoring and to provide competitive advantage. 

The sample spreadsheets assist users in getting familiar with functionality of the software. The sample spreadsheets include valuation of interest rate swap portfolios, FRA portfolios, currency swaps, accrued interest calculations, caps/floors/collars analyser and swaption analyser. 

The UNIVSWAP add-in incorporates UNIVYLD - Intermark Yield Add-in, UNIVOPT - Intermark Options Add-in, UNIVEXOT - Intermark Exotics Add-in and UNIVZERO - Intermark Zero-Curve Add-in. This provides users a powerful toolkit to create complex models combining bonds, bond futures, options and swaps.

    Intermark Swaps
    Intermark Zero   
    Intermark Exotics   
    Intermark Options   
    Intermark Yield  
    Advanced Exotics  
    Local Volatilities  
    Special Offer  

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