FIXED INCOME · SPREADS & CURVES

FIXED INCOME,
RELATIVE VALUE.

Price each cash flow, choose the ruler, calibrate the spread and separate benchmark risk from credit risk in one linked state.

SYNTHETIC / EDUCATIONAL · DETERMINISTIC FULL REPRICING

GUIDED EXPERIMENT

Change one assumption with intent

Load a coherent example, observe the linked calculation, then return to unrestricted manual exploration.

New here? Start with one example and change only the suggested input.

First try

ONE LINKED STATE

What am I measuring—and against which curve?

Active benchmarkGovernment curve

Dirty price97.655Clean 96.800 + AI 0.855

YTM5.314%single IRR

G-spread152.1 bpgovernment yield ruler

I-spread127.1 bpswap yield ruler

Z-spread147.4 bpcash-flow calibrated

Benchmark DV010.057Government curve

CS010.057parallel Z-spread +1bp

01 · CASH FLOWS → PRICE

YTM summarizes the bond. The curve prices the cash flows.

Select a payment to inspect its dated discount factor and present value.

TODAYMATURITY

Payment time: 0.50Y
Amount: 2.375
Discount factor: 0.985331
Present value: 2.340

YTM

P_{dirty}=\sum_i \frac{CF_i}{(1+y/f)^{f\tau_i}}

One periodic internal rate reproduces the market dirty price.

ZERO CURVE

P=\sum_i CF_i\,DF(0,t_i)

Each dated cash flow uses its own term-structure discount factor.

Price anatomy and local yield risk

Macaulay duration: 5.837Y
Modified duration: 5.686Y
Convexity: 38.498
Yield DV01: 0.056

Yield DV01 bumps the bond's summary YTM. Benchmark DV01 below bumps the selected zero curve; they are not interchangeable labels.

OAS QUALITY GATE · NOT MODELED

OAS needs validated interest-rate dynamics, exercise policy and state-dependent cash flows. This deterministic engine will not publish a fake Z-spread-minus-option shortcut.

Study rate optionality →

CDS-BOND BASIS GATE · NOT MODELED

A defensible basis requires CDS convention, recovery, funding, repo, liquidity and transaction-cost inputs. The current engine has no CDS leg and therefore shows no synthetic basis number.