Corporate Bond Analytics
SQX provides the analytics you need.
If you're after corporate bond analytics, SQX has what you need. We provide both calculated fields and term structure calculated fields, and deliver our data in the format of your choice (SFTP or API). What's more, if you have a question, our responsive support team responds to you within a single business day.
Getting bond analytics from SQX will help your process run smoother than ever before.
Calculated Fields:
| Field | Definition |
|---|---|
| Price | Price |
| Coupon Factor | Coupon Factor (for sinking and/or capitalizing bonds) |
| Principal Factor | Principal Factor (for sinking and/or capitalizing bonds) |
| Day [0] | Number of days of accrued interest |
| Accrued Interest | Accrued Interest |
| Accrued Principal | Accrued Principal for capitalizing bonds |
| Duration [MAC] | Macaulay Duration |
| Duration [MOD] | Modified Duration |
| Duration [EFF] | Effective Duration for callable or puttable bonds |
| Duration [WRST] | Duration to Worst |
| Field | Definition |
|---|---|
| Convexity | Convexity, Continuously Compounded |
| Invoice Price | Invoice Price |
| Fair Price | Fair Price |
| Mv | Market Value |
| Msprd [ZRO] | Spread to Zero Coupon Treasuries |
| Msprd [MKT] | Spread to the Treasury Market |
| Yield [MKT] | Yield, Market |
| Yield [EXP] | Yield, Continuously Compounded |
| Yield [RLL] | Yield Plus Roll Down |
| Yield [WRST] | Yield to Worst |
Term Structure Calculated Fields:
| Field | Definition |
|---|---|
| Model Price | Price calculated from the Term Structure |
| Tsprd [TSY] | Spread to treasury curve |
| Tsprd [LBR] | Spread to Libor curve |
| Tsprd[CRD] | Spread to credit curve |
| Implied Volatility [0] | Volatility, Implied |
| Price Volatility [0] | Volatility, Price |
| Recovery [IMPL] | Implied Recovery Rate |
| Recovery [PV] | Present Value of Recovery |
| Guaranty [PV] | Present Value of principal or coupon guaranty if any |
| Option Price [0] | Option Price of a callable or puttable bond |
| Td Crd [LEVEL] | Duration for changes in the level of credit curve |
| Td Crd [SLOPE] | Duration for changes in the slope of credit curve |
| Td Crd [BEND] | Duration for changes in the bend of credit curve |
| Td Tsy [LEVEL] | Duration for changes in the level of treasury curve |
| Td Tsy [SLOPE] | Duration for changes in the slope of treasury curve |
| Td Tsy [BEND] | Duration for changes in the bend of treasury curve |
| Td Tsy [CUBIC] | Duration for changes in the cubic component of treasury curve |
| Td Tsy [QUARTIC] | Duration for changes in the quartic component of treasury curve |
| Td Lbr [LEVEL] | Duration for changes in the level of Libor curve |
| Td Lbr [SLOPE] | Duration for changes in the slope of Libor curve |
| Td Lbr [BEND] | Duration for changes in the bend of Libor curve |
| Field | Definition |
|---|---|
| Td Rts [LEVEL] | Duration for changes in the level of real curve |
| Td Rts [SLOPE] | Duration for changes in the slope of real curve |
| Td Rts [BEND] | Duration for changes in the bend of real curve |
| Td Rts [CUBIC] | Duration for changes in the cubic component of real curve |
| Td Rts [QUARTIC] | Duration for changes in the quartic component of real curve |
| Tx Crd [VEX00] | Convexity, Credit Level Convexity |
| Tx Crd [VEX01] | Convexity, Credit Slope Convexity |
| Tx Crd [VEX11] | Convexity, Credit Level-Slope Cross Convexity |
| Tx Crd [VEX02] | Convexity, Credit Level-Bend Cross Convexity |
| Tx Tsy [VEX00] | Convexity, Treasury Level Convexity |
| Tx Tsy [VEX01] | Convexity, Treasury Slope Convexity |
| Tx Tsy [VEX11] | Convexity, Treasury Level-Slope Cross Convexity |
| Tx Tsy [VEX02] | Convexity, Treasury Level-Bend Cross Convexity |
| Tx Lbr [VEX00] | Convexity, Libor Level Convexity |
| Tx Lbr [VEX01] | Convexity, Libor Slope Convexity |
| Tx Lbr [VEX11] | Convexity, Libor Level-Slope Cross Convexity |
| Tx Lbr [VEX02] | Convexity, Libor Level-Bend Cross Convexity |
| Tx Rts [VEX00] | Convexity, Real Level Convexity |
| Tx Rts [VEX01] | Convexity, Real Slope Convexity |
| Tx Rts [VEX11] | Convexity, Real Level-Slope Cross Convexity |
| Tx Rts [VEX02] | Convexity, Real Level-Bend Cross Convexity |
Let us handle your corporate bond analytics
Contact Form
