Yield Book Add-In
Yield Book Power...Spreadsheet Flexibility
* Only available to institutional entities
Yield Book Analytics in Your Spreadsheets
Calculate a vast array of analytics, including OAS, durations, and returns. The Add-In accesses the same security and calculation servers as The Yield Book, giving you numbers you trust in an easy to analyze format. Analytical assumptions, such as curve type and date, prepayment models and volatility models are defined directly within the Add-In’s functions.
The Add-In offers access to The Yield Book's premier analytics libraries and fast calculation servers, allowing you to quickly calculate multi-path dependent measures like OAS and effective duration.
- Price / Yield
- Spread
- Duration
- Convexity
- WAL
- DV01
- Total Return
- OAS
- Spread
- Effective Duration
- Effective Convexity
- Effective WAL
- Effective DV01
- Partial / Key Rate Durations
- Volatility & Prepay Duration
The Add-In offers access to nearly two million securities from The Yield Book databases. Additionally, users have the ability to define and manage their own securities.
- Government Bonds
- Agencies
- Global Corporates
- Global High Yield
- Emerging Market Debt
- Brady Bonds
- Mortgage Pools
- ARMs
- CMO
- ABS
- CMBS
- Municipals
- Build America Bonds
- Futures
- Options on Futures
- Swap / Swaptions
- Caps / Floors
- Structured Notes
- CDS
Portfolio Analysis System
Create a portfolio by simply referencing a list of securities and par amounts. Users can input their own data, including prices. Portfolio-level calculations include scenario ROR, cash flow projections, risk metrics, return attribution, and other measures. Further refine results by sector analysis, using either Yield Book or user-defined keywords.
The Add-In's user-friendly drop-down menu is organized by analysis type.
- Indicative Data
- Historical Data
- Time Series Analysis
- Price / Yield
- Scenario Analysis
- Scenario Cash Flow
- Cash Flow Analysis
- Return Attribution
Customized User Inputs
Provide your own data, including user bonds, curves, volatility surfaces, scenarios, partial durations, and prepayment model dials to customize analysis.
Historical Data Graphing
and Analysis Package
Access individual security, index, and other historical time series data. All historical data sets are stored in single cells, which allows for dynamic graphing capabilities while keeping spreadsheets clean. An integrated statistics package builds on historical data functionality, allowing for easy analysis.
