Fixed Income Portfolio Modeling

Create "what-if" scenarios and perform other powerful modeling techniques for your fixed income and credit derivative portfolios.

The portfolio modeling module provides comprehensive bond and derivatives portfolio modeling to aid in the decision-making process of portfolio managers.

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

• Users access modeling tools for bonds and bond portfolios such as swap analysis, key rate duration, portfolio shocking and Monte Carlo simulation.

• Once implemented, the solution requires minimal support.

• The solution can be integrated with any input data source and other third-party or custom applications.

• 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.

Key Rate Durations
Sensitivity of a bond or a portfolio of bonds to changes in specific portions of the yield curve can be obtained. An analysis of a bond or portfolio sensitivity to changes in specific "key rates" of the yield curve may be performed.

Swap Analysis
Buy and sell side swaps from a trade list or portfolio may easily be created. Swaps are evaluated using an interest rate scenario and the solution will provide current and estimated future analytics. Swaps can be cash neutral, duration neutral, or par based. Swaps can be routed automatically to an OMS.

Portfolio Simulation and Risk Analysis
Numerous interest rate scenarios, hypothetical portfolios and benchmarks may be created to assess and compare future portfolio performance over any horizon period. Users may determine how current and hypothetical portfolios would perform if history repeated itself. Monte Carlo methods on the term structure of interest rates are used to provide portfolio risk and the risk of portfolio performance deviating from an Index.

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 a tax equivalent basis.

Fully integrated with InvestSoft's analytics module.


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