Monis Interest Rates XL
Monis Interest Rates XL enables pricing, hedging, modeling and risk management of interest rate/fixed income derivative instruments and portfolios.
Asset coverage includes caps, floors, FRAs, IRGs, options on futures, swaps and swaptions, as well as a whole range of interest rate exotics including bermudan and barrier swaptions, average rate and ratchet caps, diff swaps and more.
Monis Interest Rates XL offers black, hull white/extended vasicek and 2-factor Heath-Jarrow-Morton pricing models. It also provides a complete calibration module to allow users to derive volatility data from a universe of caps, swaptions and futures options. Monis Interest Rates XL is available as an Excel add-in and as an analytic library for integration with other systems.