Integrated analytical models and reference data
Derives various risk measures by employing analytical models, such as interest rate risk, prepayment, credit spreads, and optionality models.
US Structured finance deal library
Utilizes our proprietary structured deal library to generate cash flows and risk analytics. Modeling is available on more than 98% of all public deals.
Broad coverage
Delivers analytic measures such as yields, spreads and durations (including key rates) for a wide range of fixed income asset classes with over ~3 million securities available.
Simple API
Analytics calculated on-demand via the fixed income analytics engine based on a user-provided price or yield.
Integrated analytical models and reference data
Derives various risk measures by employing analytical models, such as interest rate risk, prepayment, credit spreads, and optionality models.
US Structured finance deal library
Utilizes our proprietary structured deal library to generate cash flows and risk analytics. Modeling is available on more than 98% of all public deals.
Broad coverage
Delivers analytic measures such as yields, spreads and durations (including key rates) for a wide range of fixed income asset classes with over ~3 million securities available.
Simple API
Analytics calculated on-demand via the fixed income analytics engine based on a user-provided price or yield.
Key measures from Analytics API
Durations & Convexity
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Effective Duration
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Effective Convexity
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Key Rate Durations
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Spread Duration
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Spread Convexity
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CS01
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Modified Duration
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Duration to Worst
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Macaulay Duration
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Macaulay Duration to Worst
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Local Duration
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DV01
Spreads
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Government OAS
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LIBOR/Swap OAS
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Asset Swap Spread
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Nominal Spread
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ZVO
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Discount Margin
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I, Z and G spread
Yields & More
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Yield to Maturity
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Yield to Worst
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Yield Value of 32nd
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Yield to Put
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Current Yield
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Accrued Interest
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Average Life