Fixed-Income Toolbox

Debt Instrument Valuation

Fixed-Income Toolbox lets you value and model a variety of debt instruments. You can calculate price and option adjusted spread (OAS) for bonds with an embedded option using Black's model.

You can price and value a variety of debt instruments:

Zero-coupon bonds: Calculate price and yield to extract the present value from any fixed coupon instrument for any time period.

Treasury bills: Calculate price, yield, discount rate, and breakeven discount rate.

Corporate, treasury, and municipal bonds: Calculate price, yield, and cash-flow schedules.

Stepped-coupon bonds: Calculate price, yield, and cash-flow schedules. (The next coupon dates are computed automatically from the last entered input end dates. The payment due on settlement represents the accrued interest due on that day).

Plot of agency option-adjusted spread for a noncallable bond issue and Z-spread for a callable bond issue for a range of bond prices. This comparison shows that as the price increases, the value of the embedded option in the agency issue increases, and the value of the issue itself does not increase as much as it would for a noncallable bond, demonstrating the negative convexity of this issue.