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CALCULATORS


While the training material provide calculators for the respective topics, they can be quite basicfor practical use. This section provides practical calculators with more information on each calculator. Hopefully reader will gain more knowledge by playing around with the calculators and the associated information that comes with it.

The calculators are grouped by market:

Short Dated Maturity Amount

A simple calculator to calculate interest and maturity amount based on day count convention. Calculation of multiple values can be done via table provided.

FRA Settlement

Calculate the value of an FRA.

Futures Convexity Adjustment

Calculate the convexity adjustment of a single deposit futures contract.

Curve Building with FRA

Calculate discount factors curve from consecutive series of FRAs.

Implied Forward Rates from Futures

Calculate the implied forward rates from consecutive series of deposit futures prices.

Bond Pricing

A bond pricing calculator. Able to calculate structured coupon bonds. Risk statistics such as duration, convexity, price and accrued interest are provided. In addition, there are several charts for analysis.

FRN Pricing

A floating rate bond/note pricing calculator. Able to calculate structured coupon FRN. Risk statistics such as duration, convexity, price and accrued interest are provided.

FX Contracts

An extensive calculator covering building the short term curve for implied swap point and rates for the relevant currencies.

Black Model

A Black-76 option pricing model for option on futures. The calculator applied the model for option on index futures.

Measuring Volatility Smile/Frown with Black Model

We extended the Black 76 model to calculate implied volatilities of option on futures and plot them. User are also able to upload csv file subject to the required format/field to perform the calculation based on user own data.