Bond and loan analysis
This app provides basic interest rate risk analysis for bond and loan instruments, providing
- cash flow generation and analysis,
- interest rate sensitivities and analysis of six regulatory interest rate scenarios,
- FTP analysis including fair rate, gross margin and risk transfer charges.
All calculations are purely browser based.
This app leverages the vector pricing functionality that comes with JSON risk and provides quick and accurate present values for small, medium-sized or large portfolios across multiple scenarios. Key features are
- support of the full range of JSON risk pricing models, including multi-callable interest rate instruments,
- import of portfolios in JSON or csv format,
- import of curves and surfaces with multiple scenarios, enabling present value based scenario or value-at-risk analyses,
- export of pricing results aggregated on sub-portfolio level