BondRisk™

Real-time risk metrics for fixed coupon bond portfolios

Functionality
  • Option Adjusted Spread (OAS) given price
  • Fair value given OAS
  • Effective duration, convexity, DV01
  • Key-rate durations
  • Price/yield conversions (YTM, YTC, YTP, CFY)
  • Accrued interest
  • Modified duration, convexity, DV01
  • Black-Karasinski process
  • Bloomberg data-compatible