Why try to build a bond calculator when you can have the library?


The Zia Library of Fixed-Income Calculations is a software product which contains a comprehensive set of financial functions designed to provide a simplified method of computing bonds and other fixed income instruments. The listing below indicates the types of securities covered. The computations included in the library provide computer professionals the capability of performing complex bond calculations.



Types of Securities Covered

  • Periodic coupons
  • Stepped coupons
  • Zero coupons
  • Odd first coupon
  • Odd first and Odd last coupons
  • Interest at maturity securities
  • Discounted securities

Types of Mortgage Backed pass-through computations covered…

GNMA's, FHLMC, FNMA, level payment mortgages

GNMA, graduated payment mortgages FHA Projects, level payment mortgages Mobile Home, Midgets, level payment mortgages, 15 year Stripped Interest, Principal only, level payment mortgages Stripped Principal, Interest only, level payment mortgages

Computations based on industry standard day count basis

  • 30/360
  • Actual/Actual
  • Actual/360
  • Actual/365

Price/Yield computations available for these types…

  • Price to Maturity (all securities)
  • Price to Call (all securities)
  • Price to Lower - Call or Maturity (all securities, except discounted)
  • Yield to Maturity (all securities)
  • Yield to Call (all securities)
  • Yield to Lower - Call or Maturity (all securities, except discounted

The library also contains more sophisticated fixed income computations, such as after tax calculations, duration, production analysis, and other volatility measures

  • Accrued interest factor (all securities)
  • Yield to investor (all securities, except discounted)
  • After tax yield (all securities)
  • Before tax price (Codes 0 through 7)
  • Duration and modified duration (Coupon bonds)
  • Value of a basis point (plus and minus 1 basis point)
  • Convexity (Coupon bonds)
  • Equivalent yields
  • Average Life of a sinking fund
  • Production weighted averages and totals
  • Compound Interest and Annuity Calculations

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All Mortgage back securities

  • Accrued interest factor
  • Annual equivalent yield
  • Semi-Annual (bond) equivalent yield
  • Duration and modified duration
  • Average Life
  • Half Life
  • Computed Constant Prepayment Rate

Cash flow price or yield computed using any one of five repayment models…

  • Constant Prepayment Rate (CPR)
  • Single Monthly Mortality (SMM)
  • Public Securities Association standard prepayment model (PSA)
  • FHA Experience
  • Prepaid Life