Global Fixed Income Security Analytics

We Create Solutions For Fixed Income Software Developers.

Global Fixed Income Security Analytics (Global-FISA)

Global Fixed Income Security Analytics, Global-FISA, is a software component for calculating prices, yields, and a broad range of other analytical values for the major developed markets around the world. Global-FISA analytics software can be used by securities dealers, brokers, banks, fixed income ECN’s, application vendors, and information services for developing front-, mid-, and back- office trading, portfolio, and reporting applications.

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 solution to meet your current and ever-changing business needs.

Global-FISA API Documentation

Class documentation for the various language version of the Global-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

Global-FISA provides full market coverage for both primary and secondary international fixed income marketing including government/treasury, corporate, MTN, municipal/provincial, 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 U.S. market conventions and complies with Securities Industry and Financial Markets Association (SIFMA) and International Capital Market Association (ICMA) calculation standards.
  • An extensive test data suite and test harness is available to allow direct 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 the 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.

Global 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++

Global FISA Functionality

FTLabs includes support for securities from the United States, Canada, Japan, Euro Zone, Germany, France, Italy, and the United Kingdom.
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

United Kingdom Securities

  • Treasury (Gilt) Bills
  • Treasury (Gilt) Notes
  • Treasury (Gilt) Bonds
  • Treasury (Gilt) STRIPs
  • Treasury (Gilt) Inflation-Indexed Securities

Canadian Securities

  • Treasury Bills
  • Government Bonds
  • Provincial Bonds
  • Municipal Bonds
  • Corporate Bonds

European Securities

  • Eurobonds
  • German Fixed-rate Bonds
  • French BTANs
  • French OATs
  • Italian BOTs and CTZs

Japanese Securities

  • Treasury Bills
  • Government Bills

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
  • 30 Euro/360
  • ACT/360
  • ACT/365
  • ACT/ACT
  • ACT/Year
  • Japan/365