Algorithmica picked as swap valuation specialist

Together with a leading financial consulting firm, Algorithmica partnered to deliver an independent buy-out valuation for a portfolio of currency interest rate swaps held by a Nordic mid-sized mortgage bank. In the current market there are many choices of both market data as well as modeling to make. In this case a complete setup of tenor spreads, fx-swaps, and currency basis spreads were used to create relevant forward and discounting curves for the swaps.

Valuation differences arising from different discount options were highlighted as well as a complete breakdown of the other sources of PnL. Quantlab’s new fixed income libraries for curve creation and swap valuations were used to perform the joint work.

For more on Quantlab Fixed Income Libraries please contact Sales +46 8 440 4400 or sales [at] algorithmica.se.