Return to page


Bond Pricing and Performance


● Train and score 2-way bond pricing models in real-time

● Predict errors between price and rule based predictions

● Optimize rules engine with greater accuracy

● Improve accuracy of reference price predictions on days with high variability in the market

● Predict OAS (Option Adjusted Spread) for Corporate Bonds


● Improved performance, scoring 24,000 corporate bonds globally for a single customer

● Predicted pricing accuracy every 15 seconds, removing features that were not predictive to price

● Reduced errors by $0.66 per bond

● The AI model will predict the 90 days forward OAS for the corporate bonds.

● Feature includes issuer fundamentals, current credit ratings, bond features and other fixed income analytics variables.

● The solution can be delivered through APIs to the research team.

Business Value

● Fulfill client liquidity needs with more accurate and timely bond pricing data

● Predicting OAS (Option Adjusted Spread) is a good indicator that can be used to assess the credit quality of the bond and an important input to determine the bond  ratings (high yield to investment grade or vice a versa)

H2O's AI and Data Approaches

● Classification Models

H2O-3 gradient boosting machine to improve performance

● Automatically create interactions between features

● Perform feature selection to remove features that are not predictive to price

Linear model predictions


Learn More About

Request an H2O AI Cloud Demo

We’re here to help you get started with H2O AI Cloud. Our demos will walk you through the capabilities of the platform and AI applications. We will help you determine how H2O AI Cloud can solve your organization’s specific challenges.

Demo Center

Access our in-depth product demos. Watch them all or jump to the product features most relevant to you.