Enhanced swap lib released for Quantlab

Algorithmica today released an extended swap library for Quantlab with support for a wide range of swap types.

Extended swap features include:
– sinking funds
– averaging/compounding
– reset-in-arrears, reset-in-advance
– fee schedules
– various types of amortization
– ois swaps
– leveraged and reversed swaps
– cross currency swaps
– zero and reverse zero swaps
– formula based generation of floating cashflows

As usual, Quantlab delivers realtime market-making accuracy, using market data feeds from Bloomberg or Reuters.

For more information about Quantlab please contact Head of Sales, Johan Treskog. +46 (0)8 440 4400.