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FX Options: Price and Greeks with Analysis
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FX Smile: Volatility for given Strike
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HP: Nth-to-Default Protection's Price and Greeks with Analysis
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Merton's Model Analysis Tool
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CIR's Model Analysis Tool
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Ho and Lee's Model Analysis Tool
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Hull and White's Model Analysis Tool
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Swaps: Par Rate, Price, and Greeks
Swaps: Price and Greeks
Black's formula: Maths and Story
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Swaption: Price and Greeks with Analysis
Caps and Floors: Maths and Story
Caplet Floorlet: Price and Greeks
Cap Floor: Price and Greeks
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Welcome
Par swap rate and Greeks Calculator
Please enter the inputs, and click the button to compute the par swap rate:
Swap Inputs:
Notional
Trade Date
Settlement Period
T+2
T+0
T+1
T+3
T+4
T+5
Maturity
Business Day
Modified Following
Following
Preceding
Modified Preceding
Unadjusted
Holiday Calendar
London
New York
Target2
Fixed Leg:
Frequency
Quarterly
Monthly
Semi-Annual
Annual
Day count method
Actual/360
Actual/365
E30/360
U30/360
Floating Leg:
Frequency
Quarterly
Monthly
Semi-Annual
Annual
Day count method
Actual/360
Actual/365
E30/360
U30/360
Fixed Floating:
Value
Interpolation settings:
Interpolation Method
Linear
Cubic Spline
Piecewise Constant Forward
Interpolation Variable
Spot Rate
Discount Rate
Log Discount Rate
Yield curve inputs:
Index
Tenor (years)
Spot Rate
1
Hit me to add a yield curve tenor
Hit me to compute value