Arcfina has announced that it has added a present value and duration analytics model for Interest Rate Swaps (IRS) to its analytics library which determines the present value of both the fixed and floating legs of an IRS, a process which includes the bootstrapping of zero-coupon curves.

Justin Sycamore, Founder and CEO at Arcfina said “The completion of the Interest Rate Swaps valuation and DV01 functions in the Arcfina analytics library is another step for us in fully supporting all credit-related cash and derivative asset classes and their associated analytics. The model is fully visualised allowing users to inspect the different components of the calculation, including the bootstrapping of the zero-coupon curves, the calculation of the discount curve and the forecasting of the interest payments on the floating leg.”