TIPSVal

Uses standard accepted arbitrage-free methods to perform valuation and risk analysis of inflation-indexed bonds

By feature:

  • Fixed coupon
  • Inflation adjusted principal
  • Deflation protection (redemption floor, interest floor)

By issuer:

  • US Treasury Inflation-Protected Securities (TIPS)
  • UK Inflation-Linked Gilt (ILG)
  • Australian Treasury Indexed Bonds
  • Canadian Real Return Bond (RRB)
  • French OATi and OAT€
  • German Bund Index and BO Index Bonds
  • Italian BTP€
  • Japanese JGBi
  • Swedish Index-Linked Treasury Bonds

Price conversion:

  • Clean price
  • Yield-to-maturity
  • Full price
  • Accrued interest
  • Accrued inflation

Fair value given:

  • Nominal par yield curve
  • Inflation-indexed bond par yield curve
  • Index volatility (optional, for valuation of deflation floor)
  • Option-adjusted spread (OAS) (optional)

Risk measures:

  • Effective duration
  • Effective convexity
  • Partial durations

Scenario Analysis (curve shifts and horizon) :

  • Interest income
  • Principal income
  • Reinvestment income
  • Initial and final bond values
  • Rate of return