Fixed Income Pricing Models
ResolutionBonds provides valuation and risk management for a wide range of debt securities, including at least 20 sovereign issues, discount securities, floating rate notes, and money market instruments. With a full suite of fixed income pricing models Resolution can perform calculations on a wide range of corporate and government bonds.
- Corporate and Government bonds
- Exact or equal coupon payments
- Amortizing and accreting face values
- Equivalent yield calculations for all bond types
- A number of valuation approaches for standard Floating Rate Notes (FRN’s)
- Full set of risk measures
- Shipped with a set of useful Excel® templates
that provide examples of how the functions should be implemented
Each of the sovereign bonds, as well as the generic bonds, has 4 associated functions. These are the Price, Yield, Equivalent Yield, and Cash Flow Map functions.
- Bond yields
- Accrued Interest
- Clean Price
- Dirty Price
- Bond cashflows
- Macaulay Duration
- Modified Duration
- Price Value of a Basis Point
- Equivalent Yield
Sovereign Government Bonds
The Bond Pricing component provides coverage of 20 sovereign government bonds, together with generic bond functions that allow users to determine a bond's price, yield, equivalent yields, and cash flow map with any combination of the various pricing conventions. The bond markets covered in this development are the same as those included in the JP Morgan Government Bond Index, and comprise the following countries (and bond series):
|Country|| ||Bond Type|
|Australia (AU)|| ||CGB's|
|Austria (AT)|| ||Bunds|
|Belgium (BE)|| ||OLO's|
|Canada (CA)|| ||CAD's|
|Denmark (DK)|| ||DGB's|
|Finland (FI)|| ||Markkas|
|France (FR)|| ||OAT's|
|Germany (DE)|| ||Bunds|
|Ireland (IE)|| ||IGB's|
|Italy (IT)|| || BTPs|
|Japan (JP)|| ||JGB's|
|Netherlands (NL)|| ||DSL's|
|New Zealand (NZ)|| ||NZG's|
|Portugal (PT)|| ||OT's|
|South Africa (ZA)|| ||Gilts|
|Spain (ES)|| ||Bonos|
|Sweden (SE)|| ||Statssobligations|
|Switzerland (CH)|| ||SGB's|
|United Kingdom (GB)|| ||Gilts|
|United States (US)|| ||T-Bonds||
The two-letter alphabetic country codes are based on an international standard
and are sourced from, the "Codes for the Representation of Names of Countries
(ISO 3166-1993 (E)), American National Standards
ResolutionPro is a derivative pricing library which supports the valuation, risk management and hedge accounting of derivatives & other financial instruments.
You can try ResolutionPro right now on a free trial basis.
With ResolutionBonds you are able to;
- determine fair value and risk assessments for all types of fixed and floating instruments
- Mark-to-market entire portfolios effortlessly by updating market yields and valuation dates
- Establish cash flow projections for the outstanding life of all bonds within a portfolio
- Price callable bonds
- Value related financial derivatives
Resolution has a straight-forward and fair pricing model for its products which ensures that our customers receive excellent value to meet their specific needs.
For more information see our pricing plans.
Since everyone has different requirements, we would be more than happy to talk to you regarding a customisable pricing solution.