Standard interest rate swaps and quantitative risk analysis
This sub-topic presents mathematical documentation, a user manual, and two calculation tools for the valuation and risk assessment of plain-vanilla swaps.
The Documents & Materials section contains a mathematical description of a plain-vanilla swap.
Specifically, the following elements are covered:
- Theoretical foundations (discount factors, forward rates)
- Swap valuation
- Methodology based on historical time series
- Worked example
- Additional risk metrics
- Formula reference
TheDocuments & Materials section also includes a detailed user manual. The Tools & Calculators section contains one calculation tools for valuation and risk assessment.
Specifically, the following elements are covered:
- User interface description
- Parameter input
- Yield curve input
- Interpretation of results
- Excel export of results
- Troubleshooting
VaR calculation with historical time series for plain vanilla swaps
🚀 Open tool