MAC Swap Futures Analytics

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The MAC Swap Futures Analytics tool allows clients to view the relationship between the MAC Swap Futures contract prices, rates, and risks to their respective corresponding OTC Spot and Forward Swap, both for MAC Swap Futures and Euro MAC Swap Futures products. The two tables below calculate the implied swap rates by converting the net present value of the futures market quote (Futures Price – 100) into an equivalent rate (NPV/PV01) and subtracting this rate from the coupon. The simple method provides an excellent approximation of the implied forward rate of the MAC Swap Futures contracts.

NEW: Real-Time Analytics Available in Excel

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Requirements

  • Allows existing Bloomberg terminal subscribers to utilize real-time price data via their Bloomberg Excel to view the tool’s outputs in real-time.
  • Users must install the Analytics Add-In to their Excel, which supports the underlying analytics.
  • Users must have 2013 version of the MSVC runtime libraries

Designed for educational use only using Maxeler Technologies' curve construction methodology, this tool uses delayed data and displayed results are indicative representations only.