Templates/Debt Products

Templates are the models you'll use to describe over the counter (OTC) contracts or to replicate public structures.


Name Description
Fixed Rate Bond

A fixed rate bond is a debt security that pays, periodically, coupons calculated on capital invested (principal). At the maturity, the fixed rate bond pays the last coupon and repays the 100% of principal. With this template you are able to price a bond leg by specifying principal payments dates and related day conventions adjustments (market, business days, day count conventions).

Fixed Rate Bond Option

This template allows you to evaulate call options on (Treasury) fixed-rate bonds. A fixed rate bond is a debt security that pay, periodically, coupons calculated on capital invested (principal). At the maturity, the fixed rate bond pays the last coupon and repays the 100% of principal.

Fixed Rate Bond with Callability or Puttability

A fixed (callable/puttable) rate bond is a debt security that pays periodically scheduled coupons calculated on capital invested (principal). At the maturity thr contract pays the last coupon and repays the 100% of principal (or the remaining capital in case of capital ammortization). With this template you are able to price a bond leg by specifying principal payments dates and related day conventions adjustments (market, business days, day count conventions) and ammortization schedule. The bond can be retired early as it possible to specify if the bond is callable (the issuer has the faculty to redeem the issue) or puttable (the contract holder has the faculty to exit the contract).

Fixed to Free CMS Bond

This template allows you to model bond's like investment products determined by two series of scheduled coupons: The first coupons series is fixed, while the second series is floating: coupons linked to the the difference of the two CMS rates. This template allows to describe the floating rate transformation and as well optional floors and caps. At the maturity, the bond pays the last coupon and repays the 100% of principal (or the remaining capital in case of capital amortization). With this template you are able to price a bond leg by specifying principal payments dates and related day conventions adjustments (market, business days, day count conventions) and optionally the capital amortization schedule. This template allows also to optionally specify an early redemption style: the bond can either be callable (the issuer has the faculty to redeem the issue) or puttable (the contract holder has the faculty to exit the contract).

Fixed to Free Floating Rate Bond

This template allows you to model bond's like investment products determined by two series of scheduled coupons. The first coupons series is fixed, while the second series is floating: coupons linked to the a transformation of the performance of the underlying interest rate. This template allows to describe the floating rate transformation and as well optional floors and caps. At the maturity, the bond pays the last coupon and repays the 100% of principal (or the remaining capital in case of capital amortization). With this template you are able to price a bond leg by specifying principal payments dates and related day conventions adjustments (market, business days, day count conventions) and optionally the capital amortization schedule. This template allows also to optionally specify an early redemption style: the bond can either be callable (the issuer has the faculty to redeem the issue) or puttable (the contract holder has the faculty to exit the contract).

Fixed to Range Accrual Rate Bond

A range accrual floating rate bond is a debt security that pays periodically scheduled floating coupons. The coupon amount depends on a base rate (the accrual multiplier) and on the evolution of another rate (the reference rate) within an observation period. The determination formula is as follows: Floating Coupon = Spread+ AccrualMultiplier*AccrualRatio Where AccrualRatio is the number of days in which the AccrualReferenceRate falls within the Lower and Upper barrier, and the AccrualMultiplier is the interest subject to the accrual ratio, which may also be variable . The bond can be retired early as it possible to specify if the bond is callable (the issuer has the faculty to redeem the issue) or puttable (the contract holder has the faculty to exit the contract).

Floating Rate Bond

A floating rate bond is a debt security that periodically pays floating coupons linked to the performance of the underlying interest rate. At the maturity, the bond pays the last coupon and repays the 100% of principal. With this template you are able to price a bond leg by specifying principal payments dates and related day conventions adjustments (market, business days, day count conventions).

Floating Rate Loan

This template models a floating rate loan. It is possible to specify the floating rate maturity, spread, and additional Floor and Cap Options. The mark-to-market valuation will decompose the Loan price into value of interests, capital repayment and value of options.


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