Fixed-Income Toolbox

Introduction

Fixed-Income Toolbox™ provides functions for fixed-income modeling and analysis. The toolbox includes tools for fitting yield curves to market data using parametric fitting models and bootstrapping. You can calculate the price, rates, and sensitivities for interest rate swaps. You can also price and value other derivatives, including credit default swaps, bond futures, and convertible bonds.

Fixed-Income Toolbox also includes tools for determining the price, yield, and cash flow for many types of fixed-income securities, including mortgage-backed securities, corporate bonds, treasury bonds, municipal bonds, certificates of deposit, and treasury bills.

Key Features

• Yield curve fitting with bootstrapping and parametric fitting models
• Price, rate, and sensitivity calculation for interest rate swaps
• Price and value calculation for credit default swaps
• Price, yield, discount rate, and cash-flow schedule calculation for debt instruments, including treasury bills, zero-coupon bonds, and stepped-coupon bonds
• Price and option adjusted spread calculation for bonds
• Price and rate calculation for convertible bonds, bond futures, and European call and put options
• Price and yield calculation for generic fixed-rate mortgage pools and balloon mortgages

Plots of convertible bond “floor” price as a function of share price and years to maturity (top), agency option adjusted spread for a non-callable bond and Z-Spread for a callable bond issue for a range of bond prices (left), and yield curves fitted to market data using three parametric models (right).