Andrew Kalotay Associates

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BondOAS™ Fixed Income Valuation
BondOAS™ is a rigorously developed, thoroughly tested valuation engine for fixed coupon bonds, including step-up coupons, callable, putable, amortizing, and pre-refunded securities. BondOAS™ has been widely implemented, primarily in trading, index calculation, and risk management systems.
MuniOAS Municipal Bond Valuation
MuniOAS™ is a high-precision, high-precision software providing patent-pending tax-neutral municipal bond valuation and risk analytics. MuniOAS is the only commercially available fixed income technology to deliver accurate 'after-tax' duration and convexity.
Coupled Lattice Efficiency Analysis (CLEAN™) MBS Valuation
CLEAN™ introduces a revolutionary approach for valuing pass-through mortgage-backed securities (MBS), interest-only and principal-only strips (IOs and POs), as well as mortgage servicing rights (MSRs). CLEAN™ uses rigorous option-based analysis and an "intelligent" prepayment model.
SwapVal™ Interest Rate Derivative Valuation
SwapVal™ is a software library for valuing interest rate derivatives, floating rate and structured notes, coverage also include interest rate swaps, swaptions, cancellable swaps, range accruals, flip notes, and callable notes. The hallmarks of SwapVal™ are its precision, speed, and ease of use.
TipsVal™ Inflation-Indexed Bond Valuation
TipsVal™ is a software library that uses standard accepted arbitrage-free methods to perform valuation and risk analysis of inflation-indexed bonds. Coverage include US TIPS, UK Inflation-Linked Gilt (ILG), French OATi, Canadian Real Return Bond (RRB), German Bund index and BO index bonds.