BondModel calculates zero coupon yield curves using any combination of quoted bonds, reference rates, interest rate swaps or forward rate agreements. Together with user defined credit curves BondModel can synthetically price various types of bonds, as well as interest rate swaps, floating rate notes and so on. Users that are only interested in synthetic pricing of fixed income instruments can install a scaled-down version of BondModel, which is called BondPricer.
Risk Analysis
BondModel also calculates all relevant risk measures including duration, convexity, tracking error, volatility and value at risk for fixed income portfolios. In addition, it estimates the risk contributions from the different parts of the yield curve coming from individual securities, sectors, issuers, rating categories or countries.
Performance Attribution
BondModel can calculate absolute and relative performance attribution for any period from one day and up. Performance is explained by yield, credit and currency effects. Yield curve performance is further attributed to distinct effects arising from curve changes and to different parts of the curve. This provides a comprehensive understanding of the sources of fixed income performance.
Compliance
Checkable portfolio restrictions can include maximum tracking error, issuer exposure constraints, Value at Risk constraints, sector, country or rating exposure constraints, turnover restrictions and relative and absolute interest rate sensitivity constraints.
Yield Curve Management
BondModel allows the user to manage yield curves by defining yield curve sources, editing base points, graphically viewing interpolated curves on any date and keeping track of history of all relevant base points.