Standard Securities Calculation Methods

Fixed Income


We are currently developing a series of short educational videos focused on the industry standards of fixed income math. They are designed to compliment the two Standard Securities Calculation Methods Volumes. The series will begin with the basics of time value of money, cash flows, and the present value of a uniform series. Continue with the exploration of industry conventions such as day-count methods, end-of month rules, and when to round and/or truncate. And finish with duration, convexity, after tax and tax equivalent yields, and other analytic measures.

Some sample topics are as follows:

  • Understanding time value of money and its relationship to Price and Yield.
  • What is Accrued Interest and why does it exist.
  • Day-count methods.
  • Odd coupon periods.
  • Determing coupon payment dates and coupon payment amounts.
  • Approaches for iteratively solving for Yield.
  • Understanding Duration and Convexity.

We are also developing a video series for the programmer that was handed Standard Securities Calculation Methods Volume 1 and Volume 2 and told to implement them in software.

Some sample topics are:

  • Is there a more efficient way to calculate price other than summing the present value of each cash flow?
  • When there is no formula for yield provided what do I do?
  • 30/360 day count method doesn't make sense. I think it should work differently.
  • I read on-line that there are over 30 different day count methods. Which ones do I need to implement?
  • Do I need to implement, separately, the thirty price and yield formula in Volume 1?
  • Can I code the analytic formulas in SSCM Volume 2 without first generating cash flows.
  • When I need to compute and display price is that a dirty price or a clean price?.
  • Why is the calculated price for a treasury bond different than that for a municipal bond with the same inputs?.
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