Click here for larger view. Build term structure from market instruments such as cash rates, futures prices, and swap rates. Extract rates and discount factors with several interpolation methods. Shift and pivot interest rate term structure. Price swaps, determine cash flows, or structure a swap to be valued at par.
Swaps can have any number of legs, and can involve multiple currencies or multiple yield curves.
Swaps can be specified concisely or each payment can be individually customised. Includes support for arrears swaps, rollercoaster swaps, and arbitrary fixed payments. The documentation is more than just a software manual. It's a securities primer. I've had people borrow it just to read the market overviews.