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Download link for the latest release (v0.7).

Valuation Methods

Fixed Income Securities:

• Plain vanilla bonds are valued with a Discounted Cash Flows (DCF) model.
• Callable bonds are valued by subtracting the price of the embedded bond call option, valued with the Black-76 formula, from the corresponding non-callable DCF price of the bond.
• Convertible bonds are valued by adding the price of the embedded American stock call option, valued with the trinomial tree estimate of the Black-Scholes price, to the corresponding non-convertible DCF price of the bond.
• Zero-coupon bonds are valued by discounting the face value payment.
• Flat-rate perpetuities are valued with a simple geometric summation.

Options:

• European options are valued using the relevant Black-Scholes closed form solution.
• American options are valued using a trinomial tree estimate of the Black-Scholes price.
• Bond options are valued using the Black-76 formula.

Values Calculated

For Fixed Income Securities:

• Price / Valuation
• Macaulay Duration (where applicable)
• Modified Duration (where applicable)
• Effective Duration, calculated with the Finite Difference Method (where applicable)

For Options:

• Price / Valuation

Authors

HNash

• Development and implementation of Fixed Income securities valuation and duration calculations.
• Development and implementation of Option valuation and duration calculations.
• Development and implementation of portfolio functionality.
• Development and implementation of GUI.

Yasserini

• Development of European option valuation.