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