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ICE

Software Libraries

Flagship libraries provide option-adjusted spread (OAS)-based risk measures and conventional price/yield calculations. Highly optimized for speed. Provided with C++, C#, Java, and Python wrappers.

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Software Libraries

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BondOAS

Fixed Rate Bonds: Callable, puttable, sinking fund, amortizing, pay-in-kind, step coupon, and CDs

Asset classes: Corporates, Agencies, Treasuries, Sovereigns, Municipals, CDs

MuniOAS

Fixed Rate Municipals: Extends BondOAS to incorporate ‘tax-neutral’ OAS and duration to capture de minimis effect on risk

Asset classes: Tax-exempt Municipals

CleanMBS

Fixed Rate MBS: Valuation and integrated prepayment model for high-speed risk analysis

Asset classes: Agency and Private Label Pass-Throughs

FloatVal

Floating Rate Notes: Callable, puttable, amortizing, with caps and floors, fixed-to-float, float-to-fixed, range, range accrual, inverse

Asset classes: Corporates, Agencies, Municipals, Sovereigns

TipsVal

Inflation-Indexed Bonds: Coverage includes US, Canada, Germany, Sweden, Japan, the UK, France, Italy, and Australia

Asset classes: Sovereign inflation-indexed bonds