High-speed, high precision analytics for fixed coupon bonds

Why not both?


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)

By 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