Lakshmik/CreditAnalytics — Issue #6: Detailed Bond Measures
Author: Lakshmik
Created: 2012-02-27 02:52:24+00:00
State: open

Bond measures need to generated for different categories - fair measures and market measures.
- Fair measures correspond to theoretical measures generated by using the input market parameters. Typically, fair measures are to maturity for bonds with embedded options in them.
- Market measures are implied from the market bond quote inputs. The embedded option schedule is used to detemine the work-out and the basis parameters, which are eventually used for calculating all the measures.
The complete set of coupon and PV measures, as well as the standard bond measures (such as yield, G/I/Z Spread, credit basis duration/convexity and others) are calculated in both cases.