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INTERMARK ZERO
The Zero Kit add-in analyses multiple cash flows against one or more zero-curves. The analysis is done by utilising different interpolating methods. This is especially useful in swap or project analysis when analysing the effects of irregular shifts in the zero-curves. This gives users a flexible analytical environment. The analytics have a wide variety of uses, including calculation of forward FX rates, swap rates, volatility curves and forward commodity rates.
The zero-curve add-in utilises the following different interpolating methods :
Straight Line Straight Line (trapolation) Cubic Spline Exponential Spline (assuming constant forwards) Exponential Spline (assuming interpolated forwards) Polynomial Least Squares
Polynomial least squares method contains extra flexibility by allowing the user to have different powers of regression. e.g straight line, squared line, cubic line and so on up to a maximum power of 20.
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Intermark
Swaps
Intermark
Zero
Intermark
Exotics
Intermark
Options
Intermark
Yield
Advanced
Exotics
Local
Volatilities
Special
Offer
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The Zero Kit add-in can be incorporated with the Intermark
Exotics, Options, Swap and Yield Add-ins. This provides users a
powerful toolkit to create complex models combining bonds, bond
futures, options and swaps. When utilized with the Intermark Swap
Add-in, the zero-curve add-in can take as its input the zero-curve
calculated from the deposit, swap and futures markets.
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Created by EGAR Technology Inc. © 2000-2009 All rights reserved. |
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