Fixed-Income Toolbox

Derivative Instrument Valuation

Fixed-Income Toolbox provides tools based on Black's model for working with fixed-income derivatives.

The toolbox provides tools to calculate the price, par fixed-rate, and duration of Interest rate swaps. These tools let you calculate swap price by computing par yields that equate the floating-rate side of a swap to the fixed-rate side. You can set the present value of the fixed side to the present value of the floating side without aligning and comparing fixed and floating periods. The duration-hedging capabilities let you hedge a portfolio and address interest rate risk with a swap arrangement.

For bond futures, you can calculate the price, bond conversion factors, and implied repo rate. This information can be used to manage interest rate risk for your portfolio.

For convertible bonds, functionality is available to calculate the price using binomial and trinomial trees. The value of the convertible bond is determined by the uncertainty of the relative stock.

You can also calculate the price using Black's model for a European call option, European put option, interest-rate caplet, and interest rate floorlet.

Plots of convertible bond “floor” when the share prices are low (left) and price as a function of share price and years to maturity (right).