Rudeo Curves Excel Add-In

An Excel Analytics Suite for Credit/CDS/Bond/Interest Rates Products

Applications/Uses

  • Trade Analysis and One-Pagers
  • Hedge Calculation Sheets
  • Risk Sheets
  • PNL Sheets

    • Supported Instruments

  • Corporate Bonds
  • CDS: Single Name and Indices
  • Treasury Bills, Notes, Bonds
  • Interest Rate Swaps, Eurodollar Futures (EDF)
  • Forward Rate Agreements (FRA), Libor Deposits

    • Supported Markets

  • Libor Market
  • U.S. Treasury
  • Canada/CAD
  • Euro/EUR
  • U.K/GBP
  • Japan/JPY

    • Calculations

  • Bootstrapping Curves With Various Splines
  • Value of Existing, Spot and Forward Contracts
  • Value Shocks such as CS01, CS10%, DV01, DV10% based on Credit and IR Shocks

    • Risk/Hedging

  • Market value change based on interest curve shocks