FI - Fixed Income

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 2009 for Excel 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.

Highlights of Fixed Income Coverage:

Download a more detailed list of Fixed Income coverage (528 KB PDF)

Fixed Income Securities and Derivatives

Money market instruments

Non-callable bonds - fixed and floating rate

Callable/puttable bonds

Convertible bonds

Bond forwards, futures, and options

CMS structures

Structured notes

Inflation instruments

Jurisdictional-specific bonds

Cheapest-To-Deliver bond futures analysis

Flexible floating rate notes

Amortizing / accreting bonds

Other

Asset swaps

Municipal/tax exempt swaps, swaptions

Swaps - various types

Credit-contingent interest rate swap

Credit exposure analysis on vanilla swap portfolios

Brazilian coverage - curves, FRNs

Treasury lock

Models

Hull-White short rate (1-factor)

Black-Karasinski short rate (1-factor)

Mortgage-Backed Securities

IO/PO (Interest/Principal-Only) bonds

PAC & TAC bonds

Utilities

Cash flow calculations

Conversion factors

Yield to maturity

Risk calculations

Discount margin

Volatility bootstrapping (caps / floors)

Inflation curve from bonds