US Fixed Income Security Analytics

 

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.

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US-FISA API Documentation

Class documentation for the various language version of the US-FISA library are available below:
For no extra charge, you can also test and validate calculation results using our online bond calculator, Powered by FISA.

Product Overview

US-FISA provides broad analytical coverage for the US primary and secondary fixed income markets including treasury, agency (GSE), corporate, MTN, municipal, CDs, preferred, and perpetual securities.

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.

Flexible

  • 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.

Convenient

  • 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.

US-FISA Components

FISA components are available in several different code bases:

  • Microsoft .NET – For use with VB, C#, and other .NET compliant programming languages
  • Java
  • C++
  • API – Amazon AWS Lambda-hosted

US-FISA Functionality

FTLabs includes support for US domestic securities. Specific versions of US-FISA are available for development in Java, Microsoft.NET, and C++ language.
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
  • Term

Calculations & Analytics Supported

Pricing Calculations

  • Price given yield
  • Yield given price
  • Price given discount
  • Accrued interest

Equivalent Yields

  • Current yield
  • Money-market yield (360 day year)
  • Simple yield (365 day year)
  • Bond equivalent yield
  • Discount rate
  • Inflation-adjusted yield

Volatility Analytics

  • 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

Coupon Periods

  • 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

Interest Frequency

  • Monthly
  • Quarterly
  • Semi-annually
  • Annually
  • At maturity

Daycount Conventions

  • 30/360
  • ACT/360
  • ACT/ACT
  • ACT/365