Bond, option, swap and structured product calculators
The calculations a trading desk runs, free and in your browser: price and risk of a bond, the value and greeks of an option, an FX forward, a swap or a swaption, and what a structured product is really worth against its issue price.
Bonds
- Fixed coupon: price from yield and yield from price, accrued interest, Macaulay and modified duration, convexity, DV01, G-spread and Z-spread, cash flows and rate scenarios.
- Callable bonds: option-adjusted spread, the value of the issuer's call, yield to call and to worst, effective duration and convexity, from a rate tree fitted to the curve.
- Floating-rate notes: discount margin, spread and rate duration, projected coupons.
Any of about 1,200 euro area and US government bonds can be loaded with its terms and latest price.
Options and FX
- Options on stocks, ETFs, indices, exchange rates and futures: European and American, digital and barrier; delta, gamma, vega, theta, rho, vanna and volga; implied volatility; a volatility smile; P&L and scenario grids. Load an underlying to fill in its price, historical volatility and dividend yield.
- FX forwards: outright and forward points, the forward curve, the rate a market forward implies, and the value of a forward you hold.
Swaps and rate options
Par rate, value and DV01 of an interest rate swap; premiums and greeks of caps, floors and swaptions with normal or lognormal volatility, on the euro or US curve or a rate you choose.
Structured products
Capital-protected notes, reverse convertibles, discount and bonus certificates are split into a bond and options; autocallables, on one underlying or the worst of up to three, are valued by simulation. Each comes with its fair value, the margin against the issue price, and the fair coupon or participation, with the issuer's credit spread taken into account.
Questions
Are these real prices?
They are model values from standard models (Black-Scholes and its variants, Bachelier, a Ho-Lee rate tree, Monte Carlo) and the inputs you enter. They are a sound reference, not dealer quotes and not investment advice.
Where does the market data come from?
Government bond prices and curves from central banks and treasuries, exchange rates from the ECB, and weekly closing prices for historical volatility. Every input can be changed.
Do I need an account?
No. The calculators are free, need no account, and your inputs stay in your browser.
Open the calculators → Free, no account; your portfolio stays in your browser.