Your browser is unsupported

Please visit this URL to review a list of supported browsers.


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.

Interested in

Software Libraries

Contact us


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

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


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

Asset classes: Tax-exempt Municipals


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

Asset classes: Agency and Private Label Pass-Throughs


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


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

Asset classes: Sovereign inflation-indexed bonds