BondCalc is the leading software pricing system in the traditional Private Placement field. It produces prices and full analytics on all fixed income securities and includes extensive support for:
BondCalc's user base is split between the buy and sell sides. It is popular amongst bond traders. Other possible uses.
- private placements
- mortgage-backed securities - see MBS Features
- commercial mortgages
- high yield (PIKs and Zero/Pays)
- bank loans
- emerging market debt
- serial bonds
- stepped coupons
- money market instruments
- other unusual or illiquid securities
- BondCalc is completely cash flow based with after tax, leveraging and multi-currency capabilities.
- Portfolio statistics are calculated using all portfolio cash flows and are not "weighted."
- For a single security, BondCalc can backsolve for 37 variables.
- BondCalc can price securities and portfolios using:
- Matrix pricing is the most complete available and can be used to calculate projected total return.
- Can securitize commercial mortgages, home equity loans, and other assets.
Has A/B structure with unlimited tranches in each. See input parameters and report samples.
- Stress testing can be done using yield curve shift analysis.
- Can use implied forward yield curve or 2-dimensional interest rate forecasts to value make-whole calls, swaps and horizon analysis work-outs.
- Can compare portfolios.
- Can store into a price history database, so past statistics can be used in the report writer.
- Comprehensive import format, and standard import formats, available to feed program. See list of import formats.
- All output can be exported to a spreadsheet for further processing.
- Can handle liabilities and analyze bond refundings.
- Bond-for-bond swap analysis. See input help.
- Equity portion of convertibles valued using artificial intelligence techniques for a range of stock growth rates. See How-To Notes.
- BondCalc has a complete help system that is totally context sensitive. Portions of it are excerpted here on this site.
The program is written in APL+DOS and runs under DOSBox on 64-bit Windows. A Windows version is being developed. Calculations and report formatting will be in APL, and will reside in an ActiveX server that Excel VBA will call. Data and parameters will be stored in Access. Program features are reached from a toolbar. See a full mockup of the screens and file structure.
If you have any questions contact:
Brooklyn, NY 11215
Tel: (718) 499-9900