Templates/Interest Rate Products

Templates are the models you'll use to describe over the counter (OTC) contracts or to replicate public structures.


Name Description
Fixed vs Floating Interest Rate Swap

A fixed vs. floating Interest Rate Swap (IRS) is a derivative that provides a periodical exchange of a fixed rate on a certain amount (notional) for a floating interest rate on the same notional. The fixed rate can be bullet, step-up or step-down. The floating interest rate can be a short rate (Xibor) or a Constant Maturity Swap (CMS) rate. With this template you are able to price IRS contracts by specifying notional (which may be either bullet or amortizing), payments dates and related conventions adjustments (currency, business days, day count conventions and fixing rules), floating rate maturity.

Floating vs Digital Interest Rate Swap

A Floating vs. Digital IRS is a derivative that provides a periodical exchange of a floating rate on a certain amount (notional principal), defined for a certain maturity (Leg A), for a digital payoff on the same notional principal (Leg B). The leg A can be customized in order to pay a floating rate (adjusted by optional multipliers, spread and options). THe leg B has a customizable digital payoff which can be specified in terms of a floating rate Threshold which separates two scenarios. for both scenarios 1 and 2 the payoff is Mutliplier*FloatRate+Spread where the Multiplier and the Spread are scenarios specific.

Floating vs Floating Interest Rate Swap

A floating vs. floating interest rate swap, is a derivative that provides a periodical exchange of a floating forward rate at a given maturity for a different floating interest rate, defined on the same or different maturity, on the same or different principal. The floating interest rates can be a short rates (Xibor) or Constant Maturity Swap (CMS) rates, and they can be subject to optional floors and caps.

Floating vs Purple Collar Interest Rate Swap

A Floating vs. Purple Collar IRS is a derivative that provides a periodical exchange of a floating rate on a certain amount (notional principal), defined for a certain maturity (Leg A), for a 4 scenarios payoff on the same notional principal (Leg B). The leg A can be customized in order to pay a floating rate (adjusted by optional multipliers, spread and options). THe leg B has a customizable payoff which can be specified in terms of three floating rate thresholds which separates four scenarios. For all scenarios the payoff is Mutliplier*FloatRate+Spread where the Multiplier and the Spread are scenarios specific.

Plain Vanilla Interest Rate Option

This template models a series of plain vanilla options on the forward interest rates typically found on floating rate loans. It is possible to specify the floating rate maturity, spread, and additional Floor, Cap and Collar Options. The options will be evaluated on bullet or ammortizing notionals.


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