We Create Solutions For Fixed Income Software Developers.
US-Fixed Income Security Analytics (US-FISA)
US-Fixed Income Security Analytics, (US-FISA) supports US domestic fixed income instruments. These software development components for calculating yields, price, duration, convexity, and a broad range of other analytical values for securities that trade in the United States bond markets.
Calculation accuracy and data integrity are critical to both you and your clients; developing and maintaining these components are costly and complex.
Let the experts at FTLabs develop a highly accurate and cost effective software solution to meet your current and ever-changing business needs.
Calculate a broad range of analytical values for fixed income securities quickly and accurately including: prices, yields, equivalent yields, and volatility measures.
Accurate & Compliant
- Supports all US market conventions and complies with Securities Industry and Financial Markets Association (SIFMA) standards.
- An extensive test data suite and test harness allows automated comparison of calculated values with expected benchmark values.
Easy to Learn
- Entirely object-oriented design simplifies implementation.
- Easily understood calling structure shortens the learning curve for developers; no need to learn thousands of function calls.
- Complete and up-to-the-minute documentation available online.
- Review sample code in Java, C++, or VB that clearly illustrates class and method usage.
- Simply pick your market and security type and the correct conventions and calculations are configured for your user – developers need not be market experts to be produce accurate results.
- New securities, calculations and conventions are made available to you as they are introduced in the fixed income market; we keep up with market changes so you don’t have to.
- Eliminate client-server round trips and latency by distributing calculations to the client-side. Or, implement on the server-side for centralized auditing and control.
- A user-definable degree of convergence in iterative equations allows you to optimize at run-time for ultimate precision or scorching speed.
- Use our utility classes to download and use our market-holiday calendar or use your own custom calendar.
- Use our utility classes to download and use public CPI/RPI history for calculating inflation-indexed adjustment ratios, or supply your own ratios.
- Microsoft .NET – For use with VB, C#, and other .NET compliant programming languages
- API – Amazon AWS Lambda-hosted
The instruments, calculated results, and market conventions supported include:
Supported Financial Instruments
US Treasury Securities
- Treasury Bills
- Treasury Notes
- Treasury Bonds
- Treasury STRIPs
- Treasury Inflation-indexed Securities
US Agency Securities
- Agency Bonds
- Agency Fixed Rate Notes
- Agency Discount Notes
- Agency Floating Rate Notes
US Corporate Securities
- Corporate Bonds
- Callable Bonds
- Zero Coupon Bonds
- Stepped Coupon Bonds
- Medium-term Notes
- Retail Structured Notes
- Preferred Securities
- Hybrid Preferred Securities
- Perpetual Securities
- Commercial Paper
- certificates of Deposit (Fixed, Floating, & Term)
US Municipal Securities
- Municipal Bonds
- Callable Bonds
- Zero coupon bonds
- Stepped Coupon Bonds
- Municipal Notes
US Certificates of Deposit
- Fixed Rate
- Floating Rate
Calculations & Analytics Supported
- Price given yield
- Yield given price
- Price given discount
- Accrued interest
- Current yield
- Money-market yield (360 day year)
- Simple yield (365 day year)
- Bond equivalent yield
- Discount rate
- Inflation-adjusted yield
- Estimated modified duration
- Estimated Macaulay duration
- Actual modified duration
- Actual Macaulay duration
- Estimated convexity
- Actual convexity
- Price value of 1bp
- Yield value of 1/32nd
Market Conventions Supported
- Normal coupon periods
- Short or long first coupon period
- Short or long last coupon period
- Short or long first and last coupon periods
- End-of-month adjustment
- At maturity