Bond Highlights

Extensive analytical coverage of global fixed income markets including sovereign and corporate bonds, discount securities, interest-at-maturity securities, Brady bonds, and futures on bonds, notes, and bills. The analytics include accrued interest, average life, cash flow generation, carry, convexity, duration, futures conversion factors, forward price, holding period return, implied future price, implied repo rate, net basis, price, yield, yield with an external reinvestment rate, value of a basis point, value of a 32nd, and more. Where applicable, the functions accommodate stepped coupons, ex-dividend treatment, PIK bonds, floating rates, various calendars, and tax analysis.

See a sample bond calculator that you could build using C++, VB, or Java QuantTools.

See List of Functions