BondOAS™

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Overview

  • Real-time pricing
  • End-of-day-marking to market
  • Risk management
  • Index calculation
  • Trading
  • Getting Started
  • Client reporting
  • Back office post-trade processing

Key Features

  • 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

Key Benefits

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

Product/Service details

Geographic Availability
Europe, North America
Asset Class Coverage
Bonds, Equities, Funds, Futures, Options and other Derivatives, Money Markets, Structured Products