Fixed Income Coverage

Extended Fixed Income coverage includes government debt (by country), government and corporate bonds, callable bonds, swaps and swaptions, range accruals and inverse floaters.

Whether you are working in the government, corporate or municipal sector, the FINCAD Analytics Suite will make it easier for you to price and analyze the financial risk of your fixed income securities and derivatives.

Use FINCAD Analytics to:

  • Calculate price from yield
  • Calculate comparative yields
  • Calculate yield from price
  • Perform mark-to-market valuation
  • Calculate risk statistics (duration, convexity, accrued interest, etc)
  • Jurisdictional bond models for over 35 countries
  • Spreads over treasury curves
  • Calculate treasury/Eurodollar spreads
  • Standardized and true yields
  • Cash flow analysis
  • Create benchmark curves using money market, futures, swap and bond quotes from any jurisdiction in the world.

Fixed Income Coverage:

FIXED INCOME SECURITIES AND DERIVATIVES
  • Money market instruments
    • Discount securities
    • Interest at maturity
    • Forward rate agreements
  • Non-callable bond coverage (fixed rate)
    • Coupon step-up/down/rollercoaster
    • Amortizing/accreting
    • Compounding or averaging
    • In-arrears
  • Callable/putable bonds
    • Yield to worst
    • Calculate call or put option price
  • Convertible bonds
    • Coupon step-up/down/rollercoaster
    • Amortizing/accreting
  • Bond forwards, futures & options
  • Cheapepst-to-Deliver (CTD) Bond
  • Tresury Lock
  • CMS Structures
    • Vanilla and user-defined swaps & bonds
    • Amortizing/accreting
    • Range Accrual Note (call/put)
  • Structured notes
    • Vanilla and user defined
    • Callable and puttable
    • Amortizing/accreting
    • Range accruals
    • Inverse floaters
    • Capped floaters
    • Flexible FRNs
  • Inflation instruments
    • Bonds (generic and jurisdictional specific)
    • Swaps
  • Jurisdictional specific bonds
    • Fixed or floating structures
    • 35 countries
UNDERLYING BONDS SUPPORTED CAPS & FLOORS
  • Vanilla and user-defined
  • Amortizing / accreting
  • Vanilla
  • User-defined
  • Averaging
  • Digital
MORTGAGE-BACKED SECURITIES OTHER FIXED INCOME
  • IO / PO Bonds
  • PAC & TAC bonds
  • Companion PACs / TACs
  • Accrual / Sequential bonds
  • Fixed rate pass-throughs
  • Swaps
    • Vanilla / amortizing
    • Percentage of LIBOR
    • In-arrears swaps
    • OIS / EONIA swaps
    • Municipal / tax exempt
  • Asset swaps
    • Vanilla / Cross currency
  • Trigger swaps
    • Permanent or periodic
  • Credit Contingent Interest Rate Swap
MODELS & METHODS
  • Hull-White short rate (1-factor)
  • Black-Karasinski short rate (1-factor)
UTILITIES
  • Cash flow calculations
  • Conversion factors
  • Yield to maturity
  • Volatility bootstrapping (caps / floors)
  • Risk calculations
  • Discount margin
  • Credit Exposure
  • Credit Value Adjustment

Download a more detailed list of Fixed Income coverage (158 KB PDF)