Interest Rate
Currency
Equity
Results

Derivative Products are contracts derived from other types of securities, such as interest rates, stock indices, or currency exchange rates.

To evaluate a derivative product, in particular an interest rate derivative product, HedgeOne provides multiple interest rate curves: Swap, CMT, Municipal, and Volatility.

The mathematical model used to price derivative products should be arbitrage-free, and should have mean reversion and a positive interest rate.

HedgeOne provides a multiple component template for unique deals that are not easily compared to vanilla deals. Components for floating or fixed rates may be freely added, as well as components for caps, cashflows, floors, FRAs, swaps, or swaptions. Derivative products may be merged with other types of securities and entered into a portfolio for analysis.

HedgeOne supports the following instruments:

Interest Rate Derivative Products:

Cap
Floor
Periodic Cap/Floor
Swaption
Step-up/Step-down Cap
Step-up/Step-down Floor
Double Index
Accrued (Range) Note
Index-Amortizing Note/Swap
Choose Note
Quanto
Knock-in/Knock-out
Cancelable Swap
Periodic Quanto

Equity Derivative Products:

Cap/Floor
Step
Knock-in/Knock-out
Asian Option
Look-back Option

Exchange Rate Derivative Products:

Cap/Floor
Step
Knock-in/Knock-out

The system is expandable. It is easy to support any new type of security.

Security Analysis