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
end-to-end, mfbd, after and before
Interpolation
Linear
Cubic Spline
2-Phase: linear (for short-term period) and Cubic Spline (for long-term period)
Financial Functions
Interest Days (30A/30E/30G/ACT)
Year Fraction (360/365/ACT)
Interest Basis Convert
Interest Compound Convert
Extract Currency Spread from Foreign Exchange Forward rates
Foreign Exchange Cross rates
Helper Functions
Median
Matrix Covariance
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)