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Extensive Instrument Coverage
The supported set of instruments (see Coverage) can be extended by combining and chaining functions to value complex transactions. @INTEREST includes templates for specialized trades. FEA regularly expands instrument coverage and publishes new spreadsheet templates.
Comprehensive Results
Price and risk measures can be calculated with a single function call. The risk measures include delta and gamma for a user-defined parallel yield curve shift, theta for a one-day shift, vega for both the short-rate volatility and the mean-reversion rate, cash flow maps, and bucket deltas.
Yield Curve Estimation
@INTEREST includes functions that extract zero-coupon yield curves from the market values of money market rates, Eurocurrency futures prices, and swap rates. The output curves can be expressed as annually-compounded yields, discount factors, or synthetic futures prices (futures prices for different expirations than the input dates). You can customize many aspects of the calculations, including the settlement of money market and swap rates, interpolation on rates or prices, futures prices to forward rates convexity adjustment, swap rate compounding frequency and day-count basis, stub rate interpolation, curve smoothing using cubic splines, and compounding frequency of interpolated rates.
Calendar Management
Calendar features include flexible date-based time inputs, automatic accounting for weekends, support for user-defined holiday schedules, day-rolling conventions, and day-count basis support.
Interpolation and Extrapolation
Linear, loglinear, cubic spline, log-cubic spline, and nearest-value yield curve interpolation and extrapolation are supported.
Schedules
You can specify principal amortization schedules for bond sinking funds and roller-coaster swaps, coupon schedules for step-up and step-down coupon bonds and swaps, and option strike schedules for variable-strike bond call schedules, swap option schedules, and step-up and step-down caps and floors. Payments in advance or arrears and odd-first and odd-last coupons are also supported.
Multiple Pricing Models
You can value instruments using the Black '76, Ho and Lee, Hull and White, Black and Karasinski, Cox, Ingersoll, and Ross, and Brace, Gatarek, and Musiela option pricing models. American, European, and Bermuda options are supported, including forward-starting and changing strike options.
Calibration
You can calculate the pricing-model mean-reversion rate and short-rate volatility from market prices or from Black '76 volatilities of caps or swap options.
View the @INTEREST product profile .
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