BondOAS™
High-speed, high precision analytics for fixed coupon bonds
Speed or Accuracy?
Why not both?
BondOAS™The industry standard in bond analytics delivers unparalleled speed* and accuracy.
*1.2 million OAS to price per minute for 10NC2 bonds
(Intel i7 3.4Ghz PC)
CoverageBy asset class
- US agency bonds
- US corporate bonds
- US municipal bonds
- US Treasury notes and bonds
- Foreign sovereigns
- Foreign corporates
By structure
- Callable (American, European, Bermudan)
- Putable
- Sinking Fund (term bonds in muni finance)
- Stepped coupon
- Option Adjusted Spread (OAS) given price
- Fair value given OAS
- I-spread, G-spread and Z-spread
- Effective duration, convexity, DV01
- Key-rate durations
- Price/yield conversions (YTM, YTC, YTP, YTW, CFY)
- After-tax yields for tax-exempts
- Valuation of acceleration and delivery options in sinkers
- Accrued interest
- Modified duration, convexity, DV01
- Modified duration and convexity to worst
- Cashflows
- Total return given holding period and interest rate scenario
- Calls and puts exercised optimally
- Volatility term structure
- Discount factors, zero coupon rates, forward rates
- Black-Karasinski process
- Real-time pricing
- End-of-day-marking to market
- Risk management
- Index calculation
- Trading
- Client reporting
- Back office post-trade processing
