InvestSoft Technology announces multiple enhancements for swaps, Brazilian bonds and much more to BondProbe Analytics, an extensive library of fixed-income & derivatives analytics and a fixed-income portfolio modeling API

20 May 2013

InvestSoft Technology, a provider of innovative portfolio management, accounting and analytics software, today announced upgrades to BondProbe Analytics, a revolutionary API with a full library of fixed income & derivatives analytics and fixed-income portfolio modeling.

BondProbe Analytics has been in production for 18 years and integrated into several vendor products and in-house systems of investment firms.

The system was upgraded to include ISDA regulations for interest compounding for swaps and other securities. Interest compounding options included are:

  • Straight compounding
  • Flat compounding
  • Spread Exclusive compounding

Users can select the type of swap: a duration neutral swap, a cash neutral swap or a swap with any amount per security. The swap statistics include rates of return over any horizon range, change in duration, convexity, length to maturity, cash flow and other standard measures.

Along with this upgrade, other enhancements include:

  • Added Brazilian bond analytics subject to business day holiday calendar
  • Expanded coverage of index-linked bonds

  • Enhanced bank loan coverage
  • Enhanced sophisticated portfolio modeling tools including swap analysis, portfolio simulation, portfolio shocking and Monte Carlo simulation

  • Integrated the well-reputed Kalotay OAS library (Black-Karasinski model)

BondProbe Analytics is available as a hosted web service, a fully integrated API into any system, can be used through its Excel add-in, or in any other custom manner.

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