Tools

Present and future values, annuities and loans, irregular cash flows and IRR, and converting rates between compounding frequencies.

Compare the US Treasury curve across any dates since 2021, and follow yields and spreads such as 2s10s through time.

Bootstrap par yields into zero, forward and discount curves, and see how the interpolation method changes forward rates.

Spreads and inversions with recessions marked, the 2s5s10s butterfly, and level, slope and curvature factors from PCA.

Fit Nelson–Siegel, Svensson or a spline to the Treasury curve, read the parameters, and find rich and cheap bonds.

Where US rates closed: the Treasury curve, fed funds, SOFR, real yields and breakevens, with daily to yearly changes.

Price ↔ yield for fixed-coupon bonds, with accrued interest, duration, convexity, DV01, the cash-flow table and yield to call.

G-spread, I-spread and Z-spread of a bond over the stored Treasury curve and swap rates.

Key-rate durations and DV01 along the Treasury curve, with the Treasuries that would hedge each part.

A bond's return to a horizon under curve and spread scenarios, split into income, roll-down, curve and spread.

Up to four bonds' price–yield curves, with how far duration alone and duration plus convexity miss.

Value callable and putable bonds on a calibrated rate tree, with OAS and effective duration and convexity.

Build a bond portfolio and see its value, cash-flow yield, duration, DV01, curve exposure and cash flows by year.

Fund liabilities with two bonds matched in present value and duration, and test the surplus under rate shifts.

Build a ladder, a barbell and a bullet at the same duration and see which wins in which curve move.

See where value and rate risk concentrate by issuer, sector, rating, maturity, country and currency, and check policy limits.

From a spread to a default probability and back: value a bond from expected losses, and split its spread into expected loss and premium.

Project ratings over years from a transition matrix, and see why a BBB's bigger risk is a downgrade, not a default.

Price a credit default swap on the ISDA standard model: fair spread, upfront, risky duration, and the basis to the bond.

T-bills, commercial paper, CDs and repos, with every quote converted to discount, money-market, bond-equivalent and effective annual yields.

Floating-rate notes on SOFR, €STR, SONIA or a term rate: price, discount margin, projected coupons, and rate against spread duration.

Price TIPS from a real yield, project inflation-adjusted cash flows, and read breakeven inflation by tenor and over time.

Pass-through cash flows under PSA, CPR or a refinancing model, with average life, yield at several speeds, and negative convexity.

Price and value fixed–floating swaps, see one as a bond against an FRN, size a swap to change duration, and replay real rate moves.

Price payer and receiver swaptions with normal or lognormal volatility, read a vol surface, and find implied vol.

Value at Risk and expected shortfall for a bond portfolio, by historical simulation or key-rate DV01s, with contributions and a backtest.

Replay 1994, 2008, the taper tantrum, March 2020, 2022 and the 2023 bank stress on today's portfolio, and compare the losses with VaR.