FINCAD Analytics Suite: Current Rate Dynamics & RFR Curve-Building

Get a first-hand look at FINCAD Analytics Suite for Excel’s powerful curve-building capabilities, enabling firms to easily construct curves for risk-free rates (RFRs) in a fluctuating interest rate environment.

While building RFR curves may seem simpler than managing inter-bank term rates like LIBOR, there are still nuanced areas that demand attention.

In this solution webinar, we explain how to navigate RFR curve construction in the context of a fluctuating interest rate environment. Special focus is given to the impact that a six- to eight-fold rate widening environment has on calculating MTM for books of swaps in terms of avoiding mispricing.

Join us to discover how FINCAD Analytics Suite for Excel empowers you to calculate precise analytics for curve construction, such as key rate duration, risk bucketing and market scenarios, in real time.

Mr. O’Connor gives a live demo and covers the following topics:

  • How to set a robust foundation for accurate curve construction
  • Managing pricing and analytics challenges amidst interest rate fluctuations
  • Nuances of handling in arrears futures quotes and reflecting fixings in curves
  • The importance of payment delay in RFR swaps for curve construction
  • Navigating meeting date impacts and liquidity events for implied 1d forward rate curves

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