pricing derivatives

Bond Calculator

The Bond Calculator is a standalone calculation engine that provides a robust suite of bond calculations for both primary and secondary bond issues.

Bonds calculations include:

  • Price from Yield
  • Yield from Price
  • Price from Asset Swap Spread
  • Yield from Asset Swap Spread
  • Asset Swap Spread from Yield
  • Asset Swap Spread from Price
  • Price from Zspread
  • Yield from Zspread
  • Zspread from Yield
  • Zspread from Price

The Bond Calculator supports:

  • Choice of holiday calendars
  • Choice of day count conventions
  • Choice of roll conventions
  • Long/short first/last coupons
  • Fixed/Variable/Zero coupons
  • Compounding
  • Settlement lag
  • Yield curve discounting

Average computing time per function call is approximately 3 msec on a 32 bit Windows XP machine with Intel Core2 CPU @ 2.40GHz and 1 GB of RAM.

The Bond Calculator is available with various interfaces including:

  • DLL and sample test harness
  • Excel spreadsheet and add-in
  • Python wrappers through SWIG
  • C/C++ source code
  • Microsoft Visual Studio project

 

 

Need more information on the SciComp Bond Calculator? Contact us >>

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