Interest Rate Swap Risk Management


Please feel free to download our Excel Interest Rate Swap Risk Management demo.

OIS and Libor swaps are covered, the Hedge Instruments can be defined by the User. The Revaluation and Risk Engine is compatible with LCH Clearnet. The Funding Risk is also covered. Interpolation method can be Linear, RT or Monotone Convex (LCH).

The software can be used by short term and long term IRS Traders. On the short term side, one can input ECB FRAs and hedge a portfolio on these instruments or on bullet swaps. On the long end side, the monotone convex interpolation and the portfolio risk is very clearly displayed between all the different Indexes.

Market Risk people can clearly see the risk of a portfolio by family of swaps ie OIS, Libor 1M, 3M, 6M and 12M, even Tibor and Euribor spreads. A portfolio with a nasty 3M / 6M spread will be spotted, the system is also fast : calculating the risk and swap hedging takes less than a minute for 10,000 trades.

Treasurers can clearly assess their risk and then perform a swap hedging, using their favorite hedge instrument. Furthermore, the system can revalue accuratly IRS products, using an OIS discount like LCH.

This is a very flexible, accurate and fast risk management system within Excel for all Swap products, options and exotics are not included in this demo.

This demo covers USD, EUR, GBP, CHF and JPY and all the market parameters, including the past fixings, do come from Bloomberg if you have one.

Download Here



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