BondPro Library of Fixed Income and Derivatives Analytics

Integrate the world of global bond analytics and derivatives analytics through an extensive library of on-demand calculations.

The Bondpro Library of analytics solution provides comprehensive fixed income analytics and derivatives analytics covering an extensive array of global fixed income and derivative security types.

• The solution adheres to SIA (Security Industry Association), ISMA (International Security Marketing Association) and ISDA (International Swap and Derivative Association) calculation conventions.

• The solution has been benchmarked to the leading analytics vendor and by independent auditors

• The solution's cutting edge design allows users to access all calculations for all security types using one standard request, therefore vastly increasing efficiency and user-friendliness, and reducing the learning curve.

• Once implemented, the BondPro Llibrary requires minimal support.

Several trade management and portfolio management vendors, as well as many in-house built systems have integrated the bond and derivatives analytics library

• The solution includes all common fixed income analytics (AI, yield, duration, convexity, etc...) but also optionally includes more complex calculations such as OAS, effective duration, effective convexity, key rate durations and fair value (FV). OAS, effective duration and effective convexity are available through a library from partners Andrew Kalotay Associates that has been integrated into the BondPro Library.

• Extensive security type coverage includes all emerging market bonds with all possible day count conventions. For example, includes Brazilian inflation-protected bonds and Russian sinking fund bonds.

• The solution can be integrated with any input data source.

• The solution is available as a hosted web service, a fully integrated API into any system(s), can be used through its Excel add-in, or in any other custom manner. Results can be displayed/transmitted in any way desired by the user.

Available as a standalone system or as a fully integrated solution with InvestSoft's other modules.

Complete Security and Calculation Coverage
Virtually any domestic or global fixed-income security is covered including sovereign debt, TIPs, mortgages, CMOs, floaters, money markets, IOs, POs, swaps, bank loans, bond options, futures and emerging market bonds. Securities with odd payment frequencies and accrual methodologies are covered with no additional user set-up required.

Create Security Types and Calculation Rules without Programming
A user-friendly application lets users create and maintain a set of fixed income security types and calculation rules. Users can create new security types and calculation conventions without programming. A database of industry standard security types and calculation rules is included which users can easily expand as necessary.

Price Discovery
Obtain fair value market pricing on liquid or illiquid bonds by using risk free yield and credit spread yield curves along with cash flow analysis.

Comprehensive Day Count Convention
All industry standard day count conventions including the new ISDA day count and coupon payment conventions. Users can combine day count conventions to create new accrual bases. Users can choose which accrual bases to use for which calculations. Over one hundred accrual bases are available.

Holiday Calendar Processing
Users specify whether the payments for a bond are subject to holiday processing or not. If subject to holiday processing, users can specify whether they wish the payment dates to be on the first business day prior to or after the holiday. Users can decide whether their holiday calendar contains weekends or not and if they want to compute weekends and to adjust payment dates and payment amounts accordingly.

Comprehensive Payment Frequencies & Scheduling Rules
Users may create a virtually limitless set of payment frequencies using its scheduling rule concept. Users can have generic daily, weekly, and monthly payment frequencies. For example, users can have daily based payment frequencies of 1 day, 2 days, 3 days or N days (where N is any integer). Users can also specify the day of the week on which payments occur. For weekly schedules, payments can be scheduled every 1 week, every 2 weeks or every N weeks. For weekly schedules, the week of the month and the day of the week the payments occur can be selected. Similar flexibility exists for monthly schedule rules.

FX Rate Conversions
Calculations may be performed in local and base currencies using FX rate assumptions.

Pre Tax and After Tax Calculations
Users specify whether calculations should be pre-tax, after-tax or on tax equivalent basis.


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