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
Old release notes are on the version history page.
- 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."
- 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.
- Calculate portfolio performance return and attribution for periods in the past. See PDF of sample reports.
- 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.
- Can manage trader's book with daily marking-to-market, cost of funds charge and month-to-date P&L. Hedging and liabilities can be handled.
- Can manage a cash manager's portfolio with daily marking to accreted value.
- A feature comparison to the predecessor package: BondCalc vs. BondScholar.
- BondCalc has a complete help system that is totally context sensitive. Portions of it are excerpted here on this site.
Perpetual departmental site licenses run from $7,000-16,000, depending on features, such as portfolios, OAS and securitization.
The program is written in APL+DOS and runs under DOSBox on 64-bit Windows. If you have any questions, want to obtain a demonstration copy, or to purchase a license for the software, contact:
Brooklyn, NY 11215
Tel: (718) 499-9900