This article provides some examples of DEXISION’s modeling capabilities in the area of interest rate sensitive products.
Caplets, swaptions and Bermudan swaptions are important derivative instruments. This article provides a presentation and a video demonstrating how to model and value these instruments with DEXISION—our On Demand Derivatives Analytics suite.
To ease the exposition, the examples are rather simplified and stylized. Nevertheless, the short rate model is calibrated to real German bund yields and the structures are easily adjusted to represent real world products.
Download and Read the Presentation as PDF
Watch the Video (ca. 7 min)
[Note that the screen seems a bit compressed due to the low resolution of the video.]
If you have any questions, just send me a message via the Contact page. Would be glad to hear from you.