Indigo

ACF's Indigo system as an easy-to-use package for interest rate derivatives. It covers FRAs, interest rate and cross-currency swaps, swaptions, caps, floors, collars, and participations.

Users can construct blended yield and discount curves from cash, futures, FRAs, swaps, and bonds, in any weighting, and from any recognized source. Either linear interpolation or splines can be used to create smooth curves, and then price a range of interest rate products consistently.

Indigo is immensely flexible, and can price vanilla and non-vanilla products with ease. Indigo copes with forward-start dates, off-market payments, non-zero margins, amortizing and accreting principals, non-standard and irregular payment dates, all effortlessly. Indigo is also ideal for creating competitive hedging strategies for clients.

For interest rate derivatives, Indigo is the best choice. Contact us to find out more.