Interest Rate Sensitivity
Your whole interest-rate book by currency — floating debt, IR hedges, bonds and deposits — and its sensitivity to ±100/±200bp parallel moves, the live forward curve, and your own drawn curve. Shows both mark-to-market and net cash-interest impact.
Bullet repayment: notional remains constant until maturity. Use Linear/Custom to step notional and/or floor rate per period.
Add hypothetical hedges to see how they would affect your overall position. These are not included in existing hedge valuations.
Historical reference rate (3 years) and current market forward curve. Draw your expected forward curve by sweeping across the chart, or enter points manually — your curve will be used in the payment schedule and MTM evolution analysis.
| Date | Rate (%) |
|---|
Points sync between chart and table automatically.
Set the swap rate, cap and collar strikes for the strategy comparison. Cap/floor premiums are estimated using Black-76 with historical volatility approximation.
| Parameter | Swap | Cap | Collar |
|---|---|---|---|
| Upfront Premium | No | Yes | Net (either way) |
| Cost (1 = lowest) | 1 | 3 | 2 |
| Potential Break Cost | High | None | Moderate |
| Protection Level | Best (fixed rate) | Good (capped rate) | Good (banded rate) |
| Participation if Rates Fall | None | Full | Partial (to floor) |
| Complexity | Simplest | Moderate | Most complex |
| Counterparty Credit Risk | Yes (ISDA) | No (premium paid) | Yes (ISDA) |
| Scenario | Ref Rate | Unhedged | Swap | Cap | Collar |
|---|
No existing hedges entered.
Enter a floor rate to see its embedded value.