* Prices do not contain VAT and shipping costs!
MathFinance Interest Rate Calculation Library
It is possible to select the desired set of instruments for the IR Term Structure
bootstrapping. For example the Depos, FRAs, Fxd-Flt Swaps, OIS, Tenor Swaps can
be used to build the discount curve D(t) and the forward rates surface F(T1,T2)
and the forward volatility surface σ(T1,T2)can be compted out of the Cap Vols.
The library is user friendly and saves you a lot of time in the calibration process.
With just one click our users are able to correctly calibrate the IR Term Structure
and instantly receive the necessary graphs (Forward Rates, Volatility Surfaces...).
Moreover, our intuitive wizards offer the guidance needed to price any unquoted
While pricing Swaps, our customers can use payment schedules and by the click of
a button they can rapidly adjust the floating leg Spread or, alternatively the Swap
Rate in order to get a swap with a desired value.
Pricing caps and floors has never been easier: just plug in the nominal and caplet
strikes and we take care of the volatility interpolation, by providing an automated
process that computes the forward (caplet) vols for given strikes.
The utilities included in the library offer a fast approach in creating an individual
schedule, getting discount factors, forward rates, forward volatilities and many
The pricing library is available as DLL, which can be linked flexibly to many front-end
See Flyer Pdf
For more details please see our Product Flyer and for the function declaration please go
To request a free trial license and inquire about one-time or license fees and support
please contact us!
In the future you will be able to request a license here.
Please log in!
Terms and Conditions