Pricing Overnight Index Swaps
Overnight Index Swaps (OIS) are commonly used by market participants to manage exposures to short-term interest rate movements, hedge funding costs, or speculation on the future direction of the overnight funding rate. When dealing with OIS, practitioners need to understand the pre-trade and post-trade swap prices, as well as calculate the risk sensitivities (DV01, key rate, bucket risk) of the swaps to see how their positions will be impacted by changing market conditions.
Recognized for Innovation
Numerix LiquidAsset is a Microsoft Excel add-in which
provides market-standard pricing models in easy-to-use functions and workbooks for pricing and risk calculations of Overnight Index Swaps and other interest rate derivatives. LiquidAsset can help you manage your IR portfolio within minutes of installation. Instrument Coverage and Pricing Models
- Vanilla IR Swaps, Basis Swaps, Amortizing Swaps, Constant-Maturity Swaps, Callable Swaps
- Floating Rate Notes, Forward Rate Agreements, Futures, Cash Deposits
More Interest Rate
Derivatives Coverage
Numerix LiquidAsset includes a full-range of functions to help you manage your entire Interest Rate Derivative portfolio:
- Basis Swaps
- Vanilla IR Swaps
- Amortizing Swaps
- Callable Swaps
Intuitive Calculations & Detailed Function Outputs
- Calculates mark-to-market value for the swap, each leg, DV01, and convexity
- Outputs the par swap rate for pre-trade analysis
- Understand sensitivity of the swap to raw rates in the curve with cashflow and market data risk reports
Flexible Function Inputs
- Allows for a projection and a discounting curve for calculating forward rates and discounting cash flows, respectively
- Pre-populated market conventions with “out-of-the-box” conventions for major currencies (with the flexibility to modify or add conventions as needed), to save time researching the conventions
Benefits to Pricing with Derivative Analytics Software
Derivative analytics software makes it possible for every institution, sell- or buy-side, to access industry standard derivative pricing models and increased flexibility to take advantage of opportunities in new markets and new derivative instruments. Pricing tools offer sophisticated market participants a competitive advantage by providing efficiency and consistency in pricing and risk analytics, creating a common language and pricing framework from front to back office, as well as transparency of models and methodology – all without requiring the infrastructure and resources that would be needed to create derivative pricing models in-house.
