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