Swap Cancellation


Please feel free to download our Excel swap cancellation pricer. This is a free Demo lasting one month.

It will allow to revalue existing swaps using the discounting curve of your choice, the default curve being OIS flat.

All the curves and market parameters are linked to Bloomberg feeds, in order to allow a real time swap valuation in Excel.

Excel will value Swaps (bullet, forward and started), FRAs for OIS and Libors. The valuation of swaps is within the Bid Offer of the Market.

The swap stripper is very accurate especially for the OIS (Overnight Index Swap); the central bank meeting dates are taken into account. Graph of Forwards sample. EONIA, OIS, TOIS, SONIA are covered.

This Demo, is limited to the following currencies EUR, USD, GBP, JPY and CHF.

Download Here



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