Methods for Fixed-Income Valuation, Risk and Return
Calculates the accrued interest with actual-by-actual day convention.
Calculates the accrued interest with 30-by-360, day convention.
Calculates annual Yield-To-Maturity (YTM) of Zero-Coupon Bond with giv...
Calculates the Approximated Macaulay duration using the Approximate Mo...
Calculates the Approximate Modified Duration.
Calculates the Price of Bond making Deficient Coupon Payments.
Calculates the Price of Bond making Excess Coupon Payments.
Calculates Present Value or the Price of the Bond paying Annual Coupon...
Calculates estimated change in the Full Price of the Bond (in currency...
Calculates Add-on Rate (AOR) of Money Market Instruments.
Calculates Price Value of a Basis Point (PVBP) for the Bond.
Calculates the Yield-To-Maturity (value up to five decimal places) of ...
Calculates the Yield-To-Maturity (value up to six decimal places) of t...
Calculates the G-Spread which is the spread between the yields-to-matu...
Calculates Par Rate using the given Spot Rates.
Calculates Discount Rate of Money Market Instrument.
Calculates Yield-To-Call (YTC).
Calculates Z-Spread.
Converting an Annual Percentage Rate (APR) from a periodicity of 2 to ...
Calculates Discount Margin of a Floating-Rate Note (FRN).
Calculates Discounted Value of Coupon Payments of the Bond using Marke...
Calculates the Discounted Value of the the Par Value of the Bond or th...
Calculates Effective Annual Rate (EAR) of a Zero-Coupon Bond for vario...
Calculates the Effective Duration statistic of a Callable Bond.
Calculates the percentage change in Full Price of the Bond for a given...
Calculates desired extra compensation (in terms of bps) for a risky Bo...
Calculates Yearly Forward Rates using the given Spot Rates.
Calculates Bond Price using the Forward Rate Input.
Calculates Future Value of Money Market Instruments using the given Di...
Calculates Future Value of Money Market Instrument using Add-on Rate (...
Calculates Macaulay Duration of a traditional Fixed-Rate Bond.
#'Calculates Macaulay Duration using the Coupon Rate and Yield-To-Matu...
Calculates Macaulay Duration using the Full Price of the Bond and Yiel...
Calculate Present Value or the Price of illiquid Bond using Matrix Met...
Calculates Modified Duration statistic of a traditional Fixed-Rate Bon...
Calculates Modified Duration using the Macaulay Duration and Yield-To-...
Calculates Money Duration of a Bond.
Calculates periodic discount rate of a Floating-Rate Note (FRN).
Calculates Price of Commercial Paper.
Calculates Price of a Floating-Rate Note (FRN).
Calculates Price of Money Market Instruments using Add-on Rate (AOR)
Calculates Present Value or the Price of the Bond paying Quarterly Cou...
Calculates Present Value or the Price of the Bond paying semi-annual C...
Calculates Price of a Treasury bill (T-bill).
Calculates Bond Price using given values of G-Spread and yield-to-matu...
Calculate Present Value or the Price of the Bond using Spot Rates.
Calculate Present Value or the Price of the Bond using two different S...
Calculates Bond Price using the given value of a Z-Spread and spot rat...
Calculates the Price of a Zero-Coupon Bond.
Calculates the Present Value of the Deficiency as result of lower Coup...
Calculates the Present Value of the Excess Coupon Payment resulting du...
Calculates Present Value of the Full Price of the Bond including Accru...
Calculates estimated Return on Floating-Rate Note (FRN) for a given In...
Calculates Semi-Annual Forward Rates using the given Spot Rates.
Calculates the Yield-To-Maturity(YTM) of a Zero-Coupon Bond.
Bond Pricing and Fixed-Income Valuation of Selected Securities included here serve as a quick reference of Quantitative Methods for undergraduate courses on Fixed-Income and CFA Level I Readings on Fixed-Income Valuation, Risk and Return. CFA Institute ("CFA Program Curriculum 2020 Level I Volumes 1-6. (Vol. 5, pp. 107-151, pp. 237-299)", 2019, ISBN: 9781119593577). Barbara S. Petitt ("Fixed Income Analysis", 2019, ISBN: 9781119628132). Frank J. Fabozzi ("Handbook of Finance: Financial Markets and Instruments", 2008, ISBN: 9780470078143). Frank J. Fabozzi ("Fixed Income Analysis", 2007, ISBN: 9780470052211).