Trading & Analytical Subroutines System  

Applied Financial Technology provides a calculation library that integrates into third-party software (including Excel Add-ins). The library utilizes the Espiel Prepayment Model and AFT 2-Factor Interest Rate Process and provides a multitude of calculation subroutines for all fixed income including all MBS, arbitrary callable bonds (using a backward induction method) and derivatives. Calculations and features include:

1. OAS, Duration (delta), Partial Durations (a.k.a. Key-Rate Durations), Scenario Analysis, Convexity (gamma), Vega, derivative with respect to total prepayments, derivative with respect to housing turnover, derivative with respect to refinancing, derivative with respect to burnout and PSA/CPR/ABS translations.
   
2. Price >OAS, OAS >price, price/yield, option cost, spread to yield curve.
   
3. Correct discount curve builders for LIBOR/SWAP and Treasury curves.
   
4. FFIEC test subroutines, CMO accounting subroutines.
   
5. Prepayment reports and a complete OAS analysis for a set of securities. Total return.