Standard Securities Calculation Methods

Fixed Income

The Definitive source for Industry Standard Fixed Income Calculations since 1973 has been Revised and Updated for 2022

The two volumes of Standard Securities Calculation Methods, which have defined the industry standards for fixed income calculations for almost 50 years, have been updated and revised in the new Fourth Edition.

Volume 1 contains the price, yield, and accrued interest formulas needed for the accurate computations required for trading, settlement, regulatory reporting, and operations of fixed income securities in the United States.

Volume 2 provides formula and methodologies to compute interest payment dates and the respective cash flows and to use those dates and cash flows to calculate numerous analytic measures such as duration and convexity.

For more details on the specific volumes and the updates and new additions, please select "Volume 1" or "Volume 2" from the menu under Books.

In addition to the hard cover print format, new starting in 2022, both volumes will be available in paper back print format and several electronic formats (Web, Apple Books, and Adobe Digital Editions). The Interactive Book on the Web is subscription based and uniquely, will receive updates automatically as they become available. To review sample pages from both volumes in both the print format and the web format please select "Samples" from the menu under Books.

Both Volumes contain extensive "Benchmark" calculation examples to facilitate the testing of software implementations of the formulas they contain. Complementing the printed Benchmarks is a newly available interactive Benchmarking and Validation Calculator. The Benchmarking and Validation Calculator Website will support all of the calculations and security types in the two volumes. To try a demonstration version of the Benchmarking and Validation Calculator, limited to Municipal - Interest at Maturity securities, please select "Calculator" from the menu.

The newly revised Standard Securities Calculation Methods Volume 1 and Volume 2 in Web format as well as the Benchmarking and Validation Calculator and the hard cover and paperback print formats are available for immediate Purchase. Please select "Purchase" from the menu. It is expected that additional Standard Securities Calculation Methods material and formats will be available later this year. If you would like us to notify you when can place an order for additional material (i.e. other electronic formats) please select "Notify Me" from the menu.

© Copyright 2022 - All rights reserved.