The fixed income market in India does not have a standard
methodology to measure the performance of the market.
Typically, the daily changes in the call rates and their
effect on the prices of the securities determine the
market movements. The Government of India (GOI) Bond
Index system has been developed to arrive at a standard
measure of the government bond market and its movement.
The GOI bond index is a real number that measures the
performance of a portfolio that is invested purely in
government bonds. The system would help institutions
and market participants of the Wholesale Debt Market
value their holding in sovereign papers.
Features and benefits
Create a portfolio of government bonds.
Find a set of weights for each bond proportional
to the market cap of each bond.
Calculate the number of bonds that the index fund
would have to be holding to be invested in the index
Calculate the cashflow of each bond in the portfolio.
Calculate the price of each bond in the portfolio.
Calculates the index value.
Besides the standard features above,
the system also calculates:
Yield to Maturity (YTM) of each bond in the portfolio.
Bond duration and adjusted duration.