Swaps

objective

Price and monitor swap portfolios with curve-consistent valuation and robust sensitivity controls.

workflow

1. define product taxonomy, day-count conventions, and curve inputs.
2. value fixed and floating legs with consistent discount and forward curves.
3. compute pv, dv01, carry, and basis sensitivities at trade and portfolio levels.
4. validate valuation versus market marks and independent checks.
5. release only when pricing controls and sensitivity validation pass thresholds.

required validation

• model-versus-market pricing error by tenor and counterparty.
• dv01 and key-rate sensitivity concentration validation.
• basis spread behavior across currencies and tenors.
• carry and roll-down attribution consistency.
• curve-shock stress loss distribution.