You acquire the Interest Rate Swap daily quotes and duration data from data vendors in order to use these valuations in SimCorp Dimension.
We have a new solution for you: our IRS swap daily pricing engine uses the theoretical pricing model, and will provide the in-house daily IRS theoretical prices, durations and key-rate-durations for analytical purposes with a high accuracy, based on OIS valuation approach.
Get a full control over the theoretical in-house IRS valuation, and consequently a possibility to use it for own interest rate and LDI hedge strategies
Doesn’t require manual interference. Fully automated
Pricing model is based on the up-to-date market data of underlying components