New Fixed Income Asset Classes

Posted: May. 22, 2017 -

We are happy to announce the release of our fixed income asset class library. It is comprised of 7 new instruments, all sharing common risk elements:


The new fixed income asset classes and their respective symbology prefix are:

Convertibles (CONV:) Exchangeables (EXCH:) Term Debt (LOAN:) Corporate Bonds (CORP:) Government Bonds (GOV:) Credit Default Swaps (CDS:) Interest Rate Swaps (SWAP:)


The above schematic illustrates the risk factors that are simulated for each security. For example: for convertibles, we simulate rate risk, spread risk and convertibility risk (underlying stock risk). We also need to simulate FX risk when the security currency is different from the base currency of the portfolio (FX risk not shown in the schematic above).


Some salient features for the remaining securities:


For corporate bonds we simulate rate and spread risk (convertibility risk is greyed out). For Government bonds we simulate rate risk and keep country spreads constant. Term loans have limited rate rate risk and no convertibility. CDS has pure spread (credit) risk. Interest rate swaps has pure rate risk.


The prefix inside each box is used for specify the security. For example: CONV:AMD 20250901 2.5 140 78.0 is our symbology for Advanced Micro Device's convertible expiring on September 2025, with a 2.5% coupon, priced at $140 and with a strike price of $78. See all supported symbology here.


These 7 new securities are fully integrated with the existing 10, namely: FX forwards, FX options, index options, future options, equity options, futures, global stocks, ETFs, mutual funds and indices. Furthermore our multi-asset, multi-currency calculation engine captures the correlated nature of all these assets.