We provide portfolio consulting and individual security valuation services through our affiliate Kodiak Advisors, Inc. Both Bond Lab Technologies and Kodiak Advisors boasts over 25-years capital markets experience in structuring and valuation of complex mortgage, and asset backed deals.
Structured securities' cash flows are distributed along the spot curve due to both the amortizing nature of the underlying asset as well as the borrowers' option to repay the loan, either partially or fully, at any time prior to maturity. Our valuation methodology combines both linear and non-linear term structure inputs to derive a market based valuation of your portfolio.
Bond lab® was used to create all the models and valuation examples presented in my recently published book "Investing in Mortgage-Backed and Asset-Backed Securities using R and Open Source Analytics." My book outlines the modeling and valuation techniques used to invest in Mortgage- and Asset-Backed Securities.
The BondLab R software package is hosted on my Github website. However, readers wishing to replicate the analysis presented in the book are encouraged to download the software version I used to write the book which is available on the book's website hosted by Wiley. My book is also available on Amazon and software download instructions are printed in the back of the book.
My book is designed to take the reader from the basics of time value of money, to term structure modeling, fixed income analysis. The valuation framework outlined in the book illustrates the use of cashflow modeling, building a prepayment model and total return and option adjusted spread analysis.
Bond Lab® Technologies, Inc.
Structured Finance Analytics