Fixed-Income Toolbox: Model and analyze fixed-income securities
Fixed-Income Toolbox renders functions for fixed-income analysis and modeling. The toolbox comprises tools for fitting yield curves to market data employing bootstrapping and parametric fitting models. Developers can compute the sensitivities for interest rate swaps, price and rates. Developers can in additionto, price and value other derivatives, comprising bond futures, convertible bonds and credit default swaps.
Fixed-Income Toolbox in addition, comprises tools for determining the yield, cash flow and price for various types of fixed-income securities, comprising corporate bonds, mortgage-backed securities, municipal bonds, treasury bonds, treasury bills and certificates of deposit.
Cardinal Prominent Attributes
Yield curve fitting with assisting and parametric fitting models.
Rate, sensitivity and price computation for interest rate swaps.
Value and price computation for credit default swaps.
Yield, price, cash-flow and discount rate schedule computation for indebtedness comprising stepped-coupon bonds zero-coupon bonds and treasury bills.
Option and price conformed spread computation for bonds.
Rate and price computation for bond futures, European call and put options and convertible bonds.
Yield and price computation for generic balloon mortgages and fixed-rate mortgage pools.
Yield Curve Fitting and Analysis
Fixed Income Toolbox renders customizable and extensible objects for fitting a yield curve to market data. Developers can in addition, study market data by deducing curves comprising the discount rate curve, par yield curve and forward rate curve employing other methods of these objectives.
The interest-rate curve objectives allow developers to fit yield curves to market data employing parametric models comprising Nelson-Siegel and Svensson, the bootstrap method, custom functions and spline-based models.
Credit Default Swap Pricing and Valuation
Fixed Income Toolbox comprises functions to price new and existing credit default swap (CDS) agreements. Developers can value campaigning spread CDS contracts with no direct payments and criterion spread contracts that call for an direct payment.
The toolbox modifies common CDS valuation tasks. Developers can:
Approximate the default option probability term structure by assisting CDS market data.
Price new CDS contracts by computing the breakeven spreads for various recovery rates and maturity dates.
Compute the mark-to-market value of a CDS contract with either accumulated or non accrued premium payment
Commute among market quotes employing running disperses and contracts valued employing direct payments and monetary standard spreads.
Debt Instrument Valuation
Fixed-Income Toolbox permits developers value and model a diversity of indebtedness. Developers can compute price and option adjusted spread (OAS) for bonds with an engrafted option employing Black's model.
Developers can price and value a variety of debt instruments:
Zero-coupon bonds: Compute price and yield to draw out the present value from any fixed coupon instrument for any period of time.
Treasury bills: Compute yield, price, breakeven discount rate and discount rate.
Treasury, municipal bonds and corporate:Compute, yield, cash-flow schedules and price .
Stepped-coupon bonds: Compute, yield, cash-flow schedules and price. The following coupon dates are computed mechanically from the final enrolled input end dates. The defrayment due on liquidation constitutes the accumulated interest due on that day.
Derivative Instrument Valuation
Fixed-Income Toolbox renders tools based on Black's model for figuring out with fixed-income derivatives. The toolbox renders tools to compute the par fixed-rate, price and time duration of rate swaps in the interest. These tools a;llow developers compute swap price by computing par yields that correspond the floating-rate side of a swap to the fixed-rate side. Developers can set the present value of the fixed side to the present value of the floating side free from adjusting and equating floating and fixed periods. The duration of hedging capabilities allow developers to hedge a portfolio and deal interest rate risk with a swap agreement.
For bond futures, developers can compute the bond conversion factors, price and incriminated repo rate. This data can be employed to handle interest rate risk for the selected portfolio. For convertible bonds, practicality is available to compute the price employing trinomial and binomial trees. The value of the convertible bond is ascertained by the uncertainty of the relative stock. Developers can in addition, compute the price employing Black's model for a European put option, European call option, interest rate floorlet and interest-rate caplet.
Mortgage Pool and Balloon Mortgage Pricing
Fixed-Income Toolbox allows developers model balloon mortgages and generic fixed-rate mortgage pools. The toolbox renders tools to compute yield and price of mortgage-backed securities employing defrayment options deduced from consistent exercises of the Public Securities Association (PSA). Developers can compute the effective duration or mortgage-pool price employing the option adapted to spread method for the mortgage pool. Developers can in addition, assess the risk for a mortgage-pool portfolio employing duration, average life computations and convexity.
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