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UNIVCMS - Universal CMS & Swaptions Add

This is an optional add-in for users of our Universal Swap Add-in who require the pricing and risk management of Constant Maturity Swaps (CMS) and/or Bermudan and American style options on Bonds or Swaptions. Also handles CMS Quanto Caps, Collars, Floors and Corridors. The approach used is based on the Black-Derman-Toy (BDT) and/or extended Vasicek (Hull-White) interest rate models for implementation of a No-Arbitrage term structure model for interest rates (with mean reversion), and utilises a balanced trinomial tree for increased accuracy. Market standard calculation of Swaption prices and sensitivities assuming constant “black” volatility are also implemented using a single function call. UNIVCMS also implements a very fast calibration of Volatility and Mean Reversion term structures without using Excel's Solver. One application would be the accurate valuation of the imbedded call or puts in bonds. Another application is the valuation of basis swaps (e.g. 10 year swap versus 6 month LIBOR).

EXPLORING THE INTEREST RATE TRINOMIAL TREE

USA_CREATE_TERM_TREE - Returns an 8 column array displaying the details of the interest rate trinomial tree of the specified currency at a specified number of steps in future.

 

AMERICAN-BERMUDAN OPTIONS

USA_BOND_OPTION - Calculates the price of a European, Bermudan or American Style Swaptions and/or option on bonds.

 

SWAPTION ARRAY

UCMS_SWAPTION_ARRAY - This function calculates swaption prices and sensitivities.

 

MULTIPLE DISCRETE CALLS AND PUTS

USA_VARIABLE_OPTION - Calculates the price of a series of options on a bond.

 

CONSTANT MATURITY SWAPS

USA_REVAL_CMS_LEG - This calculates, in a single function call, the price of a Constant Maturity Swap (CMS) or Constant Maturity Treasury (CMT) leg of a transaction using trinomial trees. Also see below regarding function USA_CMS_SWAP_CONVEXITY( ) which uses an analytical convexity adjustment which adjusts every CMS forward rate in order to calculate each expected forward cash flow which are subsequently present valued and summed up to revalue the CMS leg).

USA_CMS_SWAP_CONVEXITY - analytically calculates a convexity adjustment to a forward swap/interest rate when the forward rate is used to determine a payment which occurs at a time (called the "natural term") which is different than the term of the swap rate used (e.g. an X year swap/interest rate is used to determine a payment in Y years time). If the natural term "Y" is the same as the interest rate term "X", then the convexity adjustment returned is 0.

 

CMS CAP / COLLAR / FLOOR / CORRIDOR / DIGITAL ANALYSIS

USA_CMS_CAPCOLFLR - This function takes all the parameters as the UNIVSWAP function =USA_CAPCOLFLR( ). Please see the UNIVSWAP manual (MANUSA.DOC)

 

QUANTO CMS CAP / COLLAR / FLOOR / CORRIDOR / DIGITAL ANALYSIS

Quanto structures is where the payoff is in a different currency than the fixing interest rate currency. The conversion ratio from the fixing currency to the payoff currency is either 1:1 or at a fixed rate which is known in advance

USA_CMS_QUANTO_CAPCOLFLR - This function takes all the parameters as the UNIVSWAP function =USA_CAPCOLFLR( ). Please see the UNIVSWAP manual (MANUSA.DOC)

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