A Financial Control/Component by WebCab Components

WebCab Bonds .NET V2.0

Model the pricing and risk analytics of interest rate cash and derivative products. We cover the fundamental theory of bonds including: Treasury bonds, Yield/Pricing, Zero Curve, Forward rates/FRAs, Duration and Convexity. We also cover the topics of Fixed-Interest bonds and interest based calculations.

WebCab Bonds implements the following functionality:
Fundamental Theory of Bonds
Pricing and Yield

• Pricing - Discounted cash flows model in accordance with the risk free interest rate


• Yield to Maturity (YTM) - the YTM (also known as the Internal rate of Return (IRR) can be evaluated for any bond where the market price and the coupon payments until maturity are known.


• Treasury Price - evaluate the price of a Treasury bond from the Treasury zero rates.


• Bond Yield - returns the yield of a Treasury bond when the price and coupons are known.


• Par Yield - we provide methods for calculating the Par Yield where the number of yearly payments and the annuity may vary.


• Constructing the Zero Rate Curve - using the technique known as bootstrapping and linear interpolation we our able to construct the zero rate curve.


• Forward Rates and FRAs


• Evaluation of Forward Rates - the forward rate for a given period can be evaluated from the zero rates at the start and end of that period.


• Forward Rate Agreements (FRAs) - we provide a method which shows to value of a FRA and the cash flows when the contract is settled.


• Duration and Convexity


• Duration - the Duration of a bond, bond portfolio, interest rate future and the rescaling of Duration according to different interest compounding conventions.


• Duration based hedging - Duration-Hedge Ratio, Convexity and its use in hedging interest rate risk.

Yield of Fixed-Interest Bonds on Interest payment dates

• Interest Yield - A measure of the annual interest in relation to the amount invested is given in net or gross, before or after expenses.


• Simple Yield to Maturity - As used in Japanese bond markets to calculate the yield to maturity (simple yield to maturity) rather than the usual compound interest method (redemption yield).


• Gross Redemption Yield - For an interest payment date the gross redemption yield is given. We follow the convention in the US and UK to calculate and express redemption yield as a yield per annum, convertible half-yearly.


• Net Redemption Yield - The gross redemption yield on an interest payment date taking into account the investors income tax position.


• Holding period return - The yield over the period the stock was held by the investor according to US and UK interest payment conventions.


• Rate of Payments - Knowing the series of payments of one per interval payable in arrears for a number of intervals.


• Series of Payments - Knowing the rate of interest per interval and the number of intervals
.

• In implementing the above procedures it has often be necessary to find solutions of polynomial equations. In order to find these solutions we have used the following techniques:


• Interval Bisection Method - A robust method that always finds a solution or a singularity inside a bracketed interval.


• Newton-Raphson Method - Given a first approximation to a root and the differential of the function this procedure will always produce a solution. We implement this procedure for polynomial functions of one variable.

Interest Calculations

• Exponents and Series - Law of Exponents, Arithmetic Progression, Finite/Infinite Geometric Series


• Simple interest - a deposits value, Real worth, Real return


• Compound interest - Accumulated values, Real worth, Real return, Depreciation


• Effective and nominal interest - Real return, Force of interest


• Accumulated values of annuity-certain - Accumulated annuity certain in arrears, Accumulated annuity certain in advance

Present values

• Present value of annuity-certain


• Yield - Internal rate, Real and nominal


• Real returns - Bonds, Rate of return

Technical Information

Component Type - Contains the following types of components...

• .Net Class Library  • .Net Winforms Control  • ASP.Net Web Control  • ActiveX Component (in process, DLL)  • Web Service

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