pricing_swap | Prices an interest-rate swap: fixed vs a term index (vanilla), vs a compounded overnight index (OIS: SOFR, ESTR, SONIA, TONA, SARON …), zero-coupon, multiple-resets or amortizing, spot or forward-starting or seasoned with past fixings, discounted and projected on your curves (dual-curve). | |
pricing_basis_swap | Prices a float-float basis swap: two floating legs on term or overnight indexes (3M vs 6M Euribor, SOFR vs term rate) or constant-maturity swap rates (CMS vs Euribor, CMS spread legs) with spreads, each projected on its own curve and discounted on one; optionally the Bermudan option to enter it. | |
pricing_fra | Forward rate agreements and rate futures: values an FRA on a term index (forward rate, settlement amount, NPV, fixing date), or computes the Hull-White convexity adjustment that turns a futures price (IMM or other start date) into the equivalent forward rate. | |
pricing_rate_futures | Futures on rates: the fair price (100 - rate) of a future on the compounded or simple-average overnight rate (SOFR 1M/3M, SONIA, ESTR, fed funds) over its reference period, using past fixings for the elapsed part and the curve for the rest, with a convexity adjustment; or the fair price of a perpetual future (linear or inverse payoff) from domestic and asset curves and the funding terms. | |
pricing_equity_swap | Equity total-return swap on an index: the equity leg pays the index return each period, the funding leg pays a term or overnight rate plus margin. | |
pricing_xccy | Cross-currency pricing between a domestic and a foreign currency: the fair outright FX forward (covered interest parity on both curves) and a forward contract’s value in each currency; constant-notional cross-currency basis swaps (fair spread on either leg) and fixed-vs-floating cross-currency swaps (fair fixed rate); or the foreign discount curve implied by FX swap points and basis quotes over the domestic collateral curve. | |
