We Create Solutions For Fixed Income Software Developers.
USA-Fixed Income Security Analytics (USA-FISA)
USA-Fixed Income Security Analytics, (USA-FISA) supports US domestic fixed income instruments. These software components calculate prices, yields, and a broad range of other analytical values for the treasury, government agency, corporate, preferred, certificate of deposit, structured note, and municipals bonds markets of the United States and other developed countries.
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.
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.
- 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.
- 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
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