TIPSVal™ – Inflation-Indexed Bond Valuation

Description

TIPSVal™ is a software library that uses standard accepted arbitrage-free methods to perform valuation and risk analysis of inflation-indexed bonds.

Coverage

• By feature:
  • Fixed coupon
  • Inflation adjusted principal
  • Deflation protection:
    • Redemption floor
    • Interest floor
  • Partial inflation adjustment
• By issuer:
  • US Treasury Inflation-Protected Securities (TIPS)
  • UK Inflation-Linked Gilt (ILG)
  • Australian Treasury Indexed Bonds
  • Canadian Real Return Bond (RRB)
  • French OATi and OAT€
  • German Bund Index and BO Index Bonds
  • Italian BTP€
  • Japanese JGBi
  • Swedish Index-Linked Treasury Bonds

Functionality

• Convert between:
  • Quote:
    • Clean price or,
    • Yield-to-maturity
  • Full price (what you actually pay)
• Computation of accrued interest.

• Calculation of fair value of bond, given:
  • Nominal par yield curve
  • Inflation-indexed bond par yield curve
  • Index volatility (optional):
    • Used only for valuation of deflation floor.
  • Option-adjusted spread (OAS) (optional)
• Risk measures:
  • Effective duration
  • Effective convexity
  • Partial durations
• Scenario Analysis:
  • Given initial and final interest rate scenarios for a given time horizon, computes:
    • Interest income
    • Principal income
    • Reinvestment income
    • Initial and final bond values
    • Rate of return

Technical Specifications

• Platforms: Windows, Linux, Solaris, Mac OS X
• C API
• Shared (dynamic) library