"Analytical Tools for Developing Fixed Income Applications"
Bond Calculation Libraries
NIS bond calculation libraries are com+ compliant dll's that allow developers
to write fixed income applications for deployment on the internet, stand-alone,
or network. The libraries contain all of the calls necessary to perform hundreds
of bond calculations. The libraries are loaded and maintained on your servers.
The libraries are designed around your specific requirements. That means that you
only get the calculations that you need. For example, you may not need the ability to
perform price/yield analysis on MBS securities.
Some of the calculations contained in this library include price, yield to maturity,
yield to call, accrued interest, average life, duration, and cashflow projections. The
libraries can also include accounting calculations such as book price, amortization/accretion,
monthly accrued interest, and accual days.
A call to the library for a callable agency could be as simple as:
MyBond.TradeDate = #06/30/2016#
MyBond.Coupon = 0.5
MyBond.MaturityDate = #06/14/2016#
MyBond.CallDate = #06/14/2015#
MyBond.CallPrice = 100
MyBond.PaymentsPerYear = 2
MyBond.DayCount = nisDayCount.d30_360
MyBond.BondPrice = 99.95
MyBond.ParValue = 250000
YieldtoMat = MyBond.Results.YldtoMat
YieldtoCall = MyBond.Results.YldtoCall
YieldtoWorst = MyBond.Results.YldtoWorst
for pricing options and a complete list of data elements
which can be included in the calculation library.
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