Black Saturn Productions - Bond Calculator Server

Overview

The Bond Calculator Server provides the values of return and risk measures for fixed income instruments. Version 1.0, released in November 2002, supports yield, accrued interest, duration, and covexity for fixed coupon US government and corporate debt. The server is an open access service: it can be used be used by standalone C++ programs running under Linux as well as Java applets running on Windows XP. Everyone can build there own customized screens to display the calculations, or it can be used by back office applications that have no display at all. The calculations are uniformly available to all clients that have an Internet connection and an XML parser, regardless of their operating system or development language.

The server provides price, yield, accrued interest, duration, and convexity calculations that conform to the Securities Industry Association's Standard Securities Calculation Methods. The server has been test against each of the benchmarks provided in that publication. Security types supported by the server include:

US government bonds
US corporate bonds
US govt agency bonds
US municipal bonds

Access to the datafeed is free to the public over the Internet. A sample visual application that uses the datafeed will be available in December 2002.

Technical Highlights

The Bond Calculator is a Java servlet which accepts HTTP requests, parses the parameters of the request, computes the bond measures based on those parameters, and responds with an XML file containing the inputs and the results. The client may then uses that file to build a GUI screen, format it in a browser using a stylesheet, or pass its information on to another program (such as a portfolio program) for further processing.

Important technical capabilities demonstrated by the Bond Calculator are:

servlet programming,
XML processing,
data design, &
numerical calculations

Check out the Bond Calculator

The basic Bond Calculator is a free public program available over to all programs able to make http connections, including web browsers.

System Requirements

To run the bond calculator program you must have:

Internet access (presumably you have this if you can read this page)
A program to read an XML file

The easiest way to visualize an XML file is to read it into an Internet Explorer 5 browser. IE5 does a great job of rendering XML files, and all you have to do is enter the request in the address bar of the browser.
Netscape Navigator will not render an XML file unless it is supplied with an XSL file with instructions to format it. A request parameter to provide this formatting may be supported in a future release, but for now, don't try using the bond calculator with Netscape.
If you have your own program to render bond calculator results, or a back office system that processes end of day positions, you can use the server to compute the bond measures. The best way to read the response file is to use XML parser. These packages are available for free from a number of sources. Among the best are:

The Apache project provides XML parsers for Java, C++, Perl, and COM. The Apache Software Foundation provides support for the Apache community of open-source software projects.
The Java API for XML Processing (JAXP) supports processing of XML documents using DOM, SAX, and XSLT using the Java platform

Try the Bond Calculator from Internet Explorer 5

To see the results of the following calculation:

Find the yield to maturity, accrued interest, duration, and convexity for:
a US corporate bond, with
a maturity date of July 10, 2015,
a coupon of 6.25%, and
a price of 108.5

Viewing raw XML

Enter the following request in the address bar of IE5: http://64.21.65.46:8000/financial/bondCalculator?bondType=USC&maturityDate=20150710&coupon=6.25&price=108.5

The results will come in similar to the picture at the top of this page using IE5 default XML rendering. The yield, duration, and convexity appear as XML elements at the end of the file. Results for other bonds and prices can be made by modifying the request.

Using XSL to view XML that looks like HTML

To see the results formated like a regular HTML page, enter: http://64.21.65.46:8000/financial/bondCalculator?bondType=USC&maturityDate=20150710&coupon=6.25&price=108.5&format=HTML Although this screen looks like plain HTML, it's really XML formatted using an XSL file. You can prove this to yourself by clicking View/Source. The underlying source for the page is an XML file, not an HTML file.

Using an HTML input form to generate Bond Calculator requests

A page to enter bond calculator inputs is available. To access it, enter: http://64.21.65.46:8000/financial/bondCalculator?htmlInput Enter values for coupon, maturity, and bond type, and click the Calculate yield button. The page will format a bond calculator request, send it off to the server, and the server will return the HTML-formatted XML response.

Parameter information

The complete set of parameters, with their descriptions, formats, constraints, and defaults, can be found by entering: http://64.21.65.46:8000/financial/bondCalculator?parameterList

XML Schema

The Bond Calculator Schema defines the structure of the Bond Calculator response using the XML Schema format.

More help

Complete instructions on request format, along with sample requests, can be found by entering http://64.21.65.46:8000/financial/bondCalculator?help

Plug your own data and analytics into the Bond Calculator

Supporting the Bond Calculator with your own database of bond terms and conditions makes the server easier to use and ensures quality results. Access to premium data and analytics can be restricted to your own staff and authorized client user groups. End user application maintenance is simplified because updates to existing analytics are deployed without change or recompilation of source code. Please feel free to call tomkokoska@blacksaturnsoftware.com to find out more about integration with Black Saturn services.