How AllInvestView Prices Bonds: Inside the Engine

1. How we price a bond every day

Every night the engine walks each active bond through five steps: generate the cashflow schedule from your coupon and dates, solve YTM from your purchase price, look up the matching central-bank benchmark yield at the trade-date tenor, calibrate the implied spread, and discount tomorrow's cashflows at the current benchmark plus that stored spread to produce a theoretical price.

Under the hood: cashflows and the YTM solver

Cashflow generation walks from issue_date to maturity_date applying the frequency and day-count convention. Each coupon period accrues at coupon_rate / frequency on the face value, weighted by the day-count rule. The final period repays principal. Stub periods live at one end (Upfront for most US corporates, Backend for some European issuers). Zero-coupon bonds get a single terminal cashflow. Perpetuals are handled as a separate class rather than being integrated to infinity.

The YTM solver uses Newton-Raphson as the primary method, falling back to brentq (bracket-and-bisect) when Newton stalls or returns a yield outside an economic acceptance band of roughly minus 50% to plus 50%. Distressed and deeply premium bonds that would defeat a single-method solver still resolve through the bracket-and-bisect path.

2. Yield curves and the shifted-curve mechanism

Stored as (curve, tenor_months, date, yield_value) and interpolated on lookup. Sources by currency:

For curve fundamentals see the Yield Curve Calculator.

The shifted-curve mechanism for EU sovereigns

The ECB publishes the AAA par curve at full tenor but only the 10Y point per country. Italian, Spanish, French, Portuguese, Irish, Greek, and Belgian government bonds trade at persistent positive premiums to AAA, so pricing them off pure AAA would systematically undervalue. The shifted curve anchors at the 10-year point:

All seven country 10Y points come from a single batched HTTP call to the ECB statistical data warehouse, keyed by ISO country code. When a date is missing for a country, the shifted-curve lookup falls back to plain AAA at the requested tenor rather than refusing to price.

Sovereign detection is a four-layer hybrid: ISIN prefix fast-path when issuer is empty, generic sovereign tokens ("republic of", "treasury", "kingdom of"), quasi-sovereign tokens (KfW, EIB, German Pfandbriefe) that route sovereign-like, and per-country tokens that disambiguate within EUR. The token list is intentionally conservative: a misclassified corporate routed to a sovereign curve would understate spread.

AUD: govt-only primary with documented basis risk on the fallback

RBA Table F2 (four government tenors, daily) is primary. When F2 is unreachable, the engine falls back to OECD STES, which publishes three Australian series of mixed character:

• 1-month proxy: RBA cash rate target (monetary policy rate)
• 3-month proxy: BBSW interbank rate (bank credit, not government)
• 10-year: government bond yield

Storage and self-healing

Each (curve, tenor, date) row is unique; re-runs do not duplicate. When the bond report needs a curve for a date that is not cached, the lookup calls the registered fetcher and writes the data in line, so a stale curve self-heals on the next read.

Bad data is rejected at the fetch boundary: yields outside [-2%, +25%] are dropped, and upstream schema changes abort the batch rather than write rows under a wrong schema.

3. The implied spread: what it captures

The spread number we calibrate is an implied I-spread: a single-point benchmark match between your bond's YTM at purchase and the matching central-bank curve point on that date. Bond Spread Calculator covers how I-spread compares to Z-spread and OAS.

Freezing it at trade date separates two risks:

• Rate risk: how the benchmark curve moves day to day. Captured automatically by the nightly reprice.
• Credit risk: the premium you locked in for taking on the issuer's specific creditworthiness. Captured in the stored spread.

The engine measures your credit premium at the moment of purchase, not today's market credit premium. The two diverge as the issuer's situation evolves: downgrades, distress, sector repricing. Edit Spread lets you re-anchor explicitly, or back-solve from a current market price.

The stored spread persists, with three documented exceptions:

• You override it via Edit Spread. The override is flagged so subsequent re-anchoring migrations skip your bond.
• An operator runs a country-curve migration that re-anchors non-user-overridden EUR sovereign bonds onto the country-shifted curve. The prior spread is snapshotted for audit.
• The stored value drifts to an unreasonable range on the next reprice. The engine recalibrates against the current curve and writes the corrected value, self-healing a previously poisoned spread.

4. Daily repricing

A scheduled job runs nightly, iterating active bonds (type = Bond, maturity in the future, valid metadata). For each user it pre-warms the set of curves needed by that user's bonds (including the AAA parent for any country-shifted curve), then walks the bonds one at a time. Each call lazy-fetches the curve if stale, reprices the bond, and saves the result so downstream caches refresh.

For multi-lot positions (same ISIN held across several trade lots), one lot is designated the anchor. The anchor's reprice runs through the full pipeline; the resulting theoretical price propagates to the other lots in bulk.

If a curve source has a transient outage, the bond's theoretical price blanks for the night with a tooltip explaining the source is temporarily unavailable, and the engine retries automatically on the next run. YTM and duration continue to display from the bond's own cashflows in the meantime — the rate-sensitivity numbers stay on the page even when the rate environment hasn't refreshed yet.

5. What you control

Edit Spread

The Edit Spread modal on every bond row lets you set the implied spread directly in basis points or paste a target market price so the engine back-solves the spread for you. The override is flagged so subsequent re-anchoring migrations skip your bond and your value persists.

One caveat for currencies with single-tenor curves: if the bond's remaining tenor falls outside the safe window (AUD: 24-180 months), the by-price back-solve will decline because the resulting spread would be calibrated against a flat-extrapolated benchmark.

Price priority in your bond table

The Price column for each row picks the freshest credible source in this order:

1. Broker market price: live price reported by your synced broker, when fresher than 7 days.
2. Market price: for bonds we cover in our market data, the latest daily quote when fresher than 7 days. Covers users without a broker sync.
3. Theoretical price: our nightly-computed value, when calibration succeeded.
4. Purchase price: your original input, always available as a floor.

YTM and duration are computed against whichever price is current. Each number is labelled with its source. Daily change is suppressed when a non-theoretical price is in use to avoid phantom moves from the source switch.

Manual reprice

The Reprice button forces a curve refresh and per-bond recalculation without waiting for the nightly. Useful after editing a coupon or maturity date, or after a curve source has recovered from an outage.

6. What we don't model

• Callable and putable bonds: priced as if straight to maturity. No option-adjusted spread, no short-rate model (Hull-White, Black-Karasinski) to value the embedded option. The theoretical price will systematically overvalue callable bonds when they are trading near or above the call price.
• Convertible bonds: not modeled. The equity-option leg requires Black-Scholes or a tree model; not yet supported.
• Floating-rate notes (FRNs): treated as fixed-rate at the current coupon. Forward-curve projection of future coupon resets is not implemented.
• Real-time credit spread feeds: not implemented. The implied spread is what you calibrated at purchase, not today's market spread.
• Borrowed-shape curves for low-coverage currencies: CHF, JPY, NZD, NOK, SEK, DKK, MXN and similar currencies are deferred pending user demand. Bonds in those currencies show YTM and duration from cashflows but no live curve-based theoretical price.
• SGD: no usable public curve. Singapore is not in OECD STES and MAS does not publish a comparable daily feed. Holders see YTM and duration from cashflows; the Spread cell stays blank with a tooltip naming the currency.

8. Frequently asked questions