Trading & Analytical Subroutines System
FIS Applied Analytics (formerly AFT) provides a calculation library
that integrates into third-party software (including Excel Add-ins).
The library utilizes the Espiel Prepayment Model and FIS Applied Analytics 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:
- 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.
- Price >OAS, OAS >price,
price/yield, option cost, spread to yield curve.
- Correct discount
curve builders for LIBOR/SWAP and Treasury curves.
- FFIEC test subroutines,
CMO accounting subroutines.
- Prepayment reports and
a complete OAS analysis for a set of securities. Total return.
