Structured Finance Analytics 

Bond Lab software is open source software, written in the R computing language (S4), designed for the analysis of fixed income and mortgage backed securities.


Bond Lab Technologies mortgage backed security analytics include:


REMIC analytics


  • Object oriented structuring environment for agency (FNMA, FHLMC, and GNMA) REMICs
  • Open source waterfall scripting
  • Static cash flow analysis
  • Key rate duration analysis
  • Effective duration
  • Floating rate REMIC analysis
  • Option adjusted spread analysis

Bond Lab Technologies is the developer of Bond Lab®

Mortgage pass-through analytics:


  • Static cash flow analysis
  • Scenario based total return analysis
  • Mortgage Dollar Roll analysis
  • Key rate duration analysis
  • Effective duration
  • Option adjusted spread analysis


Interest Rate Models


  • R termstrc package 
  • Cox, Ingersoll, Ross single factor model