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PV01 "Classic"
Fixed Income Calculator
Welcome to the
PV01 Fixed Income Calculator
, the most sophisticated and comprehensive online Bond/MBS/ABS fixed income modeling calculator
available for free
on the Internet.
The
PV01 Fixed Income Calculator
is free to use by financial professionals and students to model real world bonds with "what-if" scenarios to project cash flows and calculate analytics. Included in the calculator are examples of over 200 benchmark bond yield and accrual calculations published by the SIFMA (Securities Industry and Financial Markets Association) and other industry sources.
For more details on features of the
PV01 Fixed Income Calculator
or to start using it, click the
"Quick Tour"
or
"Get Started"
buttons.
Features
Description of Functionality
Instrument Classes
Virtually every modern (post 2000) U.S. and European security class and interest / yield calculation method is predefined or user definable. Security classes include:
Treasuries & Agencies Bonds
Corporate & Municipal Bonds
Discount Securities
MBS & ABS Instruments
Money Markets
Euro Bonds
Strips and Swap Legs
User Defined Classes
Bond Types
Common bond and swap leg types and features are fully definable and combinable including:
Fixed and Variable Rates
Callable and Putable Bonds
Interest Rate Step Ups and Downs
Odd First and Last Coupon Periods
Amortizing Bonds
Original Issue Discounts (OID)
Compounded Accreted Value (CAV)
Zero Coupon and Strips
Interest at Maturity
MBS / ABS
Basic and advanced mortgage and asset backed securities modeling including:
Fixed and Adjustable Rates
Balloon Mortgages
Hybrid Loans
Convertibles
Buy Downs
Interest and Principal Only
Delayed Payments
Definable WAC and WAMs
Standard MBS/ABS PPMs
Standard Credit Card PPM
Customizable PPMs
PPM Seasonality Adjustments
Analytics
Standard cash flow and bond analytics include:
Price-to-Yield, Yield-to-Price
Interest Accruals
Quoted and Dirty Prices
Cash Flow Forecasts
Cash Flow PVs
Yield to Call and Put Schedules
Macaulay & Modified Duration
Convexity
PV01 (Price Value of a Basis Pt)
YV32 (Yield Value of a 32nd)
Price / Yield Curve
Constant Yield Amortization Path
Documentation
The
PV01 Fixed Income Calculator's
formulas and application library are extensively documented and available online including the internal math libraries used by the calculator.
A comprehensive list of all reference sources used in the development of the
PV01 Fixed Income Calculator
are extensively documented with full attribution. Links to those reference sources are available on the documentation page.
The PV01 Fixed Income Education Calculator - Copyright 2008-2018 Michael Radin