Selecting a new calculation
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The FICALC Fixed Income Securities Calculator is an easy-to-use fixed income calculator. It performs all the functions (as well as many others) of the traditional desktop bond calculator, but it works in your browser.
The Calculator works with a single security type at a time. It shows an Input Window (where you enter the security description), and several output windows (where you see the results of your calculation). To perform a calculation, select a calculation, enter the security description into the input window, select any output window(s) and calculate the results.
The Calculator has several components. The Button Bar gives you access to the currently available functions for the selected security. The Icon Bar gives you access to the general functions (new security, etc.). The rest of the browser window contains the Input Window and several Output Windows.
Selecting a new calculationThe first step in any calculation is to determine what kind of security you are performing calculations on. Different security types may have different descriptions, different information associated with them, and use different settings (such as day count method and coupon frequency). The Calculator makes it easy to choose the right security type.
Pressing the "New Security Type" icon (a small calculator) from the Icon Bar brings up a two step hierarchical process of choosing a Market and then a security Structure.
Once you have selected a security type an Input Window will be visible to you. The Input Window is where most of the security’s description is entered. The other windows are called output windows because they display the results of the calculations. You may choose to display some or all of these output windows by pressing the "Set Calcs…" button on the Button Bar. Some output windows require more information about the security in order to display their results - these windows contain two separate areas, one for input and one for output.
There are several different kinds of data fields used to enter the security’s description. Use the Tab key to move among the fields and enter data. Some fields are required in order to complete the calculation - if you try to perform the calculation without entering a required field, you will see a message to this effect.
Click the "Calculate" button on the Button Bar (or just press Enter in some browsers) to calculate the results. The data you entered will be validated, and you will be notified if any data is missing or inconsistent. If the data contains any consistency errors, no calculations will be performed, and an appropriate error message will be displayed.
If all your data is acceptable, all visible output windows will have their results recalculated. If you wish to see any other output windows, just select any Output Window by pressing the "Set Calcs…" button on the Button Bar and marking the additional calculations you wish to see.
The calculations which are available are as follows:
The Icon Bar, on the upper right of the browser window, contains clickable icons which perform actions related to the calculator as a whole. Only those icons which can perform a function are displayed. The Help icon (question mark) is always displayed.
The icons are:
The Button Bar, on the upper left of the browser window, contains clickable buttons which perform actions relevant to the currently displayed windows. For instance: when the input window is displayed the button bar contains buttons for "Calculate", "Clear Data", and "Set Calcs...".
FICALC was created using the Standard Securities Calculations Server produced by TIPS, Inc. That Server along with the Standard Securities Calculation Software Library allows programmers to quickly and accurately include fixed income calculations like these in their own software. If you have programmers developing trading systems, back-office systems, portfolio management systems, etc., and you would like them to produce the most accurate calculations possible, then give TIPS a call at (908) 522-8950.
The SSC Software Library, for short, is a comprehensive library of routines for fixed income calculations, available on virtually any platform. It contains over 850 functions and is continually enhanced and updated. It is available in object form on a wide variety of platforms.
Some of the benefits of the SSC Software Library
You can visit the TIPS web site at www.tipsinc.com for more information, or email Sales@tipsinc.com
TIPS, Inc. is at the forefront in the development of fixed income calculations software for the financial services industry, and is considered to be the industry leader in fixed income analytics. TIPS was founded in 1986 by Jan Mayle, author of the "Standard Securities Calculation Methods" books published by the Securities Industry Association (SIA). After years of working as a consultant to the financial services industry, Mr. Mayle saw a need to integrate existing standards - which he developed in conjunction with both the SIA and The Bond Market Association - with the industry's growing use of software.
Designed to help the securities industry standardize the valuation and analysis of fixed income securities, the company's primary product is "Standard Securities Calculations Software Library." The software library provides calculation routines for valuation and analysis of domestic, foreign developed and emerging market fixed income securities to developers of in-house and commercial systems.
The Securities Industry Association is the trade association representing the business interests of more than 700 securities firms in North America. Its members are securities organizations of virtually all types - including investment banks, brokers, dealers, and mutual fund companies.
SIA serves as a forum for addressing key industry issues, acting as an information source and idea catalyst. It also helps its members reduce costs and assists them with management responsibilities.
The Bond Market Association (formerly known as the Public Securities Association, or PSA) is the bond market trade association, representing about 300 securities firms and banks that underwrite, trade and sell debt securities both domestically and internationally. The Bond Market Association's members include all major dealers in municipal, U.S. government, federal agency, mortgage, asset-backed and corporate debt securities and money market instruments.
The Bond Market Association speaks for the bond industry, advocates its positions and keeps members informed. It also strives to standardize market practices to promote efficiency and reduce costs.
The Standard Formulas for the Analysis of Mortgage-Backed Securities and Other Related Securities created by The Bond Market Association's Mortgage Securities Division established consistent calculations for evaluating mortgages and their structured securities. The association has recommended yield calculations for fixed-rate capital (preferred debt) securities.
PrintingWhen you click the "Printer" icon on the Icon Bar a printable page of all inputs and calculated values is generated and displayed.
You can then print the displayed information using the print function of your browser. When you are done press the "Go Back" button on the Button Bar. This will return you to the input window.
HelpOpens this file in a seperate browser,
Lists - select one of the entries in a list by clicking the arrow key to the right of the field, pressing the up/down arrows, using the mouse, or pressing the initial letter of the desired choice.
Numeric values - enter a valid number, with an optional decimal point and minus sign.
Date values - enter a valid date, with slashes (MM/DD/YY or MM/DD/YYYY), with dashes (MM-DD-YY or MM-DD-YYYY), or without either (MMDDYY or MMDDYYYY). The year may be entered as 95 or 1995. If the century is not included, it is assumed to be 19 unless the number you entered is less than 70 (e.g., 95 becomes 1995, 0 becomes 2000, and 10 becomes 2010).
Lists of dates and amounts - click the field's button to bring up another window where you can enter a date and its corresponding amount on a line.
To select output windows, just press the "Set Calcs…" button on the Button Bar and mark the calculations you wish to see. The "Set Calcs…" button is available whenever the "Calculate" button is available.
The calculations which are available are as follows:
This output window displays some or all of the following analytics for a security:
Price - The price
Yield - The yield
Discount Rate - The discount rate
BE Yield - The bond equivalent yield
(One of the values above was entered in the Input Window. The other(s) were calculated.)
AI - The accrued interest from the previous coupon date up to the settlement date
This output window displays some or all of the following analytics for a security:
Duration - The Macaulay duration
Modified Duration - The modified Macaulay duration
Convexity - The convexity
Price of 01 - The change in price corresponding to a change in yield of 0.01
Yield of 32nd - The change in yield corresponding to a change in price of 1/32nd (0.03125)
This output window displays each cash flow that occurs between the settlement date and the redemption date. A cash flow is a payment of interest and/or principal that occurs on a particular date.
This list identifies what the following field, Given, represents (either the known Price or the known Yield).
This value is some known value, as defined by the previous list field (Given Type field). It represents either:
dollar price
yield
discount
bond equivalent yield
Possible values: may not be zero; some values may not be negative; some values have upper limits
This field is the annual interest rate for the security as a percentage.
A 10.25% coupon rate should be entered as 10.25
Possible values: must be zero or greater.
This is the date upon which the security matures. It is always required.
Possible values: Any date after the settlement date.
See also: Data Types for information on entering dates.
When entering certain kinds of data (say, call schedules, or coupon rate schedules), you will need to enter a date and an amount. For example, for a call schedule, you would enter the date of the early redemption and the redemption price. Call schedules also have a continuous call option; if these calls are continuous (as opposed to discrete), you can enter the minimum days and the trade date after clicking the Continuous radio button.
The list will automatically be sorted when you exit the window.
You may enter up to 10 items.
See also: Data Types for information on entering dates.
Part of every security's description is information about how it counts days, pays interest, etc.. These "settings" are chosen by pressing the "Settings..." button, which brings up the Settings screen. The initial values are always the "industry standard" for a particular security type. If you change any of these values, your new values will be retained until you reset them, choose a new security.
The entries on this screen vary by security type, but include one or more of the following:
If you have changed the settings and then want to restore them to the industry standard values, use the Default Settings button on the Button Bar when the Settings screen is visable.
For calculations which allow entry of early redemption dates (call dates and put dates), this output window displays the calculated values (either price or yield) for each of the call dates and call prices when calculate to Worst is chosen.
This output window displays several other industry standard yields, including the current yield, and the equivalent Annual, equivalent Semi-annual, equivalent Quarterly, and equivalent Monthly yields if available for the chosen security type.
This output window displays various information associated with the current coupon period, including its boundary coupon dates, the number of days in it, and the interest paid for the period.
This is information which describes the call features for the security. It has and indicator for the call type (discrete or continuous) and a list of all call dates and call prices for the security. You may not enter two calls for the same date.
Click the "Calls…" button to bring up the input screen. See list of dates and amounts for instructions on entering and deleting data from the input screen.
See also: Data Types for information on entering dates.
Also known as Dated Date or Start of Accrual Date, this is the date upon which the security starts accruing interest.
For coupon bearing bonds, it is an optional date, and is only necessary if there is an odd first period, and the settlement date is before the First Coupon Date which is also required in that case.
This date must be on or before the Settlement Date.
See also: Data Types for information on entering dates.
This is the date upon which the first coupon payment is made. It is an optional date, and is only necessary if there is an odd first period, and the settlement date is before the first coupon date (the Issue Date is also required in that case).
See also: Data Types for information on entering dates.
This is the date for which all calculations are performed.
See also: Data Types for information on entering dates.
This is the date that the last coupon payment before maturity is made. It is an optional date, and is only needed if there is an odd length last coupon period.
This date must be before the Maturity Date.
See also: Data Types for information on entering dates.
This allows you to specify which of Maturity Date, one of the entered Calls, or Worst to use as the redemption date for all calculations. The date used as the redemption date is shown in an output window displayed next to the input window.
The choices listed here depend upon what entries are in the Call Schedule. If there are no Calls, the only choice is Maturity Date. If one or more Calls have been entered, the default choice is Worst, indicating that all applicable Calls should be tested, and the worst yield or price scenario should be used. You may also select an individual Call to use.
The Redemption P/Y output window will show the Price or Yield for all applicable calls when Worst is chosen.
This is the date upon which the stepped coupon security starts to earn interest at its step-up, or Step Rate.
Note: This is not the date that the first payment at the new rate is made, but the date at which the interest starts accruing at the new rate (one coupon payment date earlier).
See also: Data Types for information on entering dates.
This is the step-up rate for a stepped coupon security. On the Step Date, this is its new coupon rate.
An adjustment that will be made to either the input or calculated dollar price. Its value will be subtracted from the price. The scale of this number is determined by the Concession Flag.
To add a concession, use a negative value for this field.
This determines how the Concession amount is scaled.
This is a list of all coupon dates and coupon rates for the multi-stepped security. There must be at least one coupon rate specified on or before the settlement date. You may not enter two steps for the same date.
Click the "Coupons…" button to bring up the input screen. See list of dates and amounts for instructions on entering and deleting data from the input screen.
See also: Data Types for information on entering dates.
The date the security is traded. This date may be used in determining the next call date for continuous calls.
See also: Data Types for information on entering dates.
This output window shows the following:
Coupon Interest - Total of all future coupons
Interest on Interest - Total interest earned on reinvesting the coupon interest at the given reinvestment rate
Total Interest - - Sum of Coupon Interest and Interest on Interest
Capital Gain/Loss - Gain or loss on principal
Total Dollar Return - Total Interest plus gain/loss
Total Future Amt - Redemption Value plus Total Interest
Total Return - Internal rate of return (IRR) of the total future amount discounted to the settlement date
The Calculate buttons are displayed whenever a calculation can be performed. The buttons are as follows:
Calculate - perform the selected calculations.
Clear Data - clear all input data (including schedules) and reset settings to default values.
Set Calcs... - open window which enables the selection of calculations.
The Call schedule buttons are displayed whenever the call schedule input window is displayed. The buttons are as follows:
Update Call - validate all the input call data and if OK return to the main input window.
Clear Calls - clear all call data.
The Coupon schedule buttons are displayed whenever the multi-step bond coupon schedule input window is displayed. The buttons are as follows:
Update Coupons - validate all the input coupon data and if OK return to the main input window.
Clear Coupons - clear all coupon data.
The Setting buttons are displayed whenever the security settings input window is displayed. The buttons are as follows:
Settings OK - validate all the input settings and if OK return to the main input window.
Default Settings - reset all settings to the "industry standard" values and return to the main input window.
The Choosing Calculations buttons are displayed whenever the set calcs input window is displayed. The buttons are as follows:
Calcs OK - return to the main input window with marked calculations set.
Mark All - mark all available calculations.
Un-Mark All - un-mark all calculations (Note: Price/Yield is always marked even if you uncheck the box).
The Print buttons are displayed whenever a printable input/output window is displayed. The button is as follows:
Go Back - returns you to the main input window..