Fixed-Income Toolbox
Model and analyze fixed-income securities
Plots of convertible bond "floor" price as a function of share price and years to maturity (top), agency option adjusted spread for a non-callable bond and Z-Spread for a callable bond issue for a range of bond prices (left), and yield curves fitted to market data using three parametric models (right).
Fixed-Income Toolbox™ provides functions for fixed-income modeling and analysis. The toolbox includes tools for fitting yield curves to market data using parametric fitting models and bootstrapping. You can calculate the price, rates, and sensitivities for interest rate swaps. You can also price and value other derivatives, including credit default swaps, bond futures, and convertible bonds.
Fixed-Income Toolbox also includes tools for determining the price, yield, and cash flow for many types of fixed-income securities, including mortgage-backed securities, corporate bonds, treasury bonds, municipal bonds, certificates of deposit, and treasury bills.
