IR - Interest Rate
Advanced and vanilla interest rate coverage - includes CMS spreads, dual range accruals, snowballs and PRDCs. Uses interest rate models for exotic IR products and hybrids such as multi-factor term structure, LIBOR Market Model (LMM) and SABR
Highlights of Interest Rate Coverage:
Download a more detailed list of Interest Rate coverage (1MB PDF)
Swaps
Vanilla / amortizing swaps, swaptions
Percentage of LIBOR swaps, swaptions
In-arrears swaps
OIS / EONIA Swaps
Basis swaps, swaptions
Zero coupon swaps
|
Other coverage:
CMS TARN swaps
CMS TARN
PRDC Notes and TARNs
TARN notes & swaps (call/put)
Snowball swaps & notes (call/put)
Snowblade swaps (call/put)
Cross currency swaps, swaptions
Quanto swaps, swaptions
European swaptions using SABR
Caplets & Floorlets using SABR
|
Caps & Floors
Vanilla
Averaging
Digital
User-defined
CMS spread
|
Styles
American
Bermudan
European
|
CMS Spread
Notes and swaps
TARN notes and swap
Dual range accrual (call/put)
Range accrual (call/put)
Snowball note
|
Models
Hull-White short rate (2-factor)
LIBOR Market Model (BGM)
SABR
|
Utilities
Volatility bootstrapping
|
