To get core analytics: AccrInt- Accrued Interest, Ytm – Yield to maturity, Ytw
– Yield to worst, NextCoupDt – Next Coupon Date, ModDur – Modify duration (note
mod dur calculated on ytw based).
You must set next values: Price, Coupon or Pik, Redemption/Maturity Date and
Settle Date or Trade Date.
If you enter trade date and didn’t enter settle date then system will calculate
settle date for you and use it in analytics. If you enter settle date then it
will be taken as parameter for settlement date.
Spread will be calculated only if treasury yield for entered trade date will be
found in my database. Later I’m going to add option to be able to enter
treasury here. For now you can add treasury in my demo database here:
http://soft-custom.com/fipol/Index.aspx?p=Maintenance&Maint=Threasury
Accreted Value – AccVal will be properly calculated if you entered Issue Date
and Issue yield.
Cusip: You can enter cusip here up to 9 characters and push get button. The
first cusip that found in my demo database that matches this parameter will be
pulled out, and related info (call/coupon schedules, Frequency, Issue Date,
First Coupon Date, and Maturity Date) will be filled on this form. You can
modify it after this before pushing calc button.
Show/Hide Schedules check box: you can show and fill schedules with Calls and
coupons if you have such bond, before you run calculation.
Calc button: Calculates analytics based on entered parameters.
Cancel button: send you back to the page where you came from.
Clear button: resets Calculator form.
Cash Flow check box: Hide/unhide Cash flow after calculation.
Setting check box: allow you to see calculated result with parameters. If this
check box is unchecked then you see only result of calculation.
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