Calculation Engine

Calculation Engine creates ready formulated curves and rates to be used in corporate ERP- and Treasury Management- Systems.

All calculations are executed in a timed manner based on given parameters.

Generic Functions

• Date Functions including holiday calendar
  

  1. 1. 1. 1. end-to-end, mfbd, after and before
              
              

• Interpolation
  
  

  1. 1. 1. 1. Linear
              
              

           2. Cubic Spline
              
              

           3. 2-Phase: linear (for short-term period) and Cubic Spline (for long-term period)
              
              

• Financial Functions
  
  

  1. 1. 1. 1. Interest Days (30A/30E/30G/ACT)
              
              

           2. Year Fraction (360/365/ACT)
              
              

           3. Interest Basis Convert
              
              

           4. Interest Compound Convert
              
              

           5. Extract Currency Spread from Foreign Exchange Forward rates
              
              

           6. Foreign Exchange Cross rates
              
              

• Helper Functions
  
  

  1. 1. 1. Median
           
           

        2. Matrix Covariance
           
           

        3. Standard Deviation
           
           

Simple Formula

User-defined functions to add, subtract, multiply, and divide for calculating new rates.

Advanced Curve Builder

• Basis Swap Curves including smooth short-term generation
  
  

• Cross Currency Swap Curves
  
  

• Bootstrapped Zero Coupon Curve (with and without OIS Discounting)
  
  

• Forward Curves (with and without OIS Discounting)