Version: 6.3.4
Date: 20210730
Copyright (c) 2021, Andrew Kalotay Associates. All rights reserved.

Change Log

Getting Started

Java API documentation

Description

A fast accurate library for computing valuation and risk measures of pass-through MBS using the patented CLEAN prepayment model

Security Coverage

• Fixed coupon pass-through MBS

Functions

• Standard measures
  • Yield
  • Modified duration and convexity
  • Expected life
  • Accrued interest
  • Cash flows
• OAS measures using prepayment model
  • OAS
  • Effective duration and convexity
  • OAS duration and convexity
  • Partial durations
  • Expected life
  • Volatility risk
  • Expected prepayment speeds

Technical specifications

• Available as shared library on following platforms
  • 64-bit Windows DLL
  • 64-bit Linux
  • 64-bit Mac OS X
• C++, Java, C# API's
• Threadsafe
• Written in C++