Advance Refunding Calculator

Calculates refunding efficiency by comparing savings to net loss of option value. The latter includes both the value of the conventional call option and of the advance refunding option being given up.



  • Conventional bond calculations:
    • Price/yield (YTM, YTC, YTP, YTW, CFY) conversion for standard daycounts
    • Accrued interest for standard daycounts
    • Modified duration/convexity/DV01
    • Cashflows
  • Valuation:
    • Option adjusted spread (OAS) corresponding to a price
    • Fair value given issuer's yield curve
    • Effective duration/convexity/DV01
    • Implied volatility given bond's price
    • Fair coupon given a specified structure
  • Refunding analysis:
    • For call or market purchase
    • Reports cashflow savings and refunding efficiency
    • Includes wait-until-call analysis
    • Municipal bond current and advance refunding analysis
  • New issue structuring:
    • Solves for fair coupon for multiple structures
    • Measures mispricing given market coupons
    • Compares after-tax expected cost across maturity spectrum (including structures with embedded options)
  • Portfolio analysis:
    • Valuation (including effective duration)
    • Current and advance refunding analysis
    • Portfolio-based statistics
    • Scheduled cashflows
  • Portfolio-based scenario analysis and stress testing:
    • Total return over specified holding period and interest rate scenario
    • Scenario-dependent calls and puts
  • Yield curve analysis:
    • Discount factors, zero-coupon rates and forward rates corresponding to a par yield curve
    • Volatility term structure

Extracts optionless par curves from 5% NC-10 curves or par NC-10 curves.