Designing Financial Swaps with CLP(R)
Evan Tick
Committee:
Technical Report(Dec 1969)
Keywords:

This paper describes how to design and evaluate financial swaps using CLP(R), a constraint logic programming language over the real numbers. We give a methodology for handling both interest rate and currency swaps. A large real.life example is given to illustrate the techniques. The analyzer is useful to swap practitioners by allowing quicker and more flexible experimentation over the design space than is currently possible with spreadsheets.