The US-FISA line of products from FTLabs includes support for US domestic securities. Specific versions of US-FISA are available for development in Java, Microsoft .NET, and C++ languages.
The instruments, calculated results, and market conventions supported by the Global-FISA are listed below:
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
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-annuallyAnnually
- At maturity
Daycount Conventions
- 30/360
- ACT/360
- ACT/ACT
- ACT/365