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@UNIVSWAP – Universal Swap Add-in (10.0.06)

UNIVSWAP is an interest rate and cross-currency swap add-in. It builds a No-Arbitrage term structure model for interest rates & volatilities (using mean reversion) from any combination of bonds, swaps, bills, deposits and/or futures. This term structure is used to consistently price instruments, including Bonds, Swaps, FRAs, IRGs, Caps, Collars, Floors, Corridors, Digitals. The approach

  • Editorial Team
  • May 12, 2021
  • 1 minute

UNIVSWAP is an interest rate and cross-currency swap add-in. It builds a No-Arbitrage term structure model for interest rates & volatilities (using mean reversion) from any combination of bonds, swaps, bills, deposits and/or futures. This term structure is used to consistently price instruments, including Bonds, Swaps, FRAs, IRGs, Caps, Collars, Floors, Corridors, Digitals. The approach used for volatility modelling is based on the extended Vasicek (Hull-White) models, with a number of proprietary improvements. UNIVSWAP incorporates, at no extra charge, full copies of UNIVOPT, UNIVEXOT, UNIVYLD & UNIVINT Add-ins.