# Standard Securities Calculation Methods (SSCMFI) - Full Documentation > SSCMFI is the authoritative REST API and MCP server for industry-standard fixed-income bond math, based on the Standard Securities Calculation Methods book series. This document contains the complete technical specifications and integration guides for the SSCMFI.com math engine. It is optimized for AI agents and developers who need to implement or invoke institutional-grade fixed-income calculations. --- ## 1. REST API Reference The sscmfiAPI suite consists of ten high-performance endpoints designed to handle complex fixed-income calculations. All endpoints accept `POST` requests with JSON payloads and require an API key passed in the headers. **Authentication:** Pass your API key in the headers of your HTTP requests: `x-api-key: YOUR_API_KEY_HERE` > [!IMPORTANT] > **Instructions for AI Agents**: For the complete, machine-readable schema definitions, required parameters, default values, and data structures, you must load and reference the [OpenAPI Specification](https://api.sscmfi.com/openapi.yaml) or the [MCP OpenAPI Specification](https://api.sscmfi.com/sscmfi-mcp/openapi-mcp.yaml). ### Endpoint Catalog - `POST https://api.sscmfi.com/api/sscmfiPublicAPI`: Rate-limited public sandbox endpoint. No API key required. - `POST https://api.sscmfi.com/api/sscmfiAPICalculate`: Universal endpoint. Performs any supported calculation for any supported payment type. - `POST https://api.sscmfi.com/api/sscmfiAPIBatchCalculate`: Performs calculations on multiple securities (up to 1,000) in a single request. - `POST https://api.sscmfi.com/api/sscmfiAPICalculatePeriodic`: Calculates fixed-rate periodic coupon securities. - `POST https://api.sscmfi.com/api/sscmfiAPICalculateDiscount`: Calculates discount securities paying only at maturity. - `POST https://api.sscmfi.com/api/sscmfiAPICalculateIAM`: Calculates interest-at-maturity securities. - `POST https://api.sscmfi.com/api/sscmfiAPICalculateStepped`: Calculates securities with stepped coupon schedules. - `POST https://api.sscmfi.com/api/sscmfiAPICalculateMultistep`: Calculates securities with multiple fixed coupon changes. - `POST https://api.sscmfi.com/api/sscmfiAPICalculatePIK`: Calculates Payment-In-Kind (PIK) securities. - `POST https://api.sscmfi.com/api/sscmfiAPICalculatePartPIK`: Calculates part cash/part PIK coupon securities. ### Calculation Results Control In the `calculationSelection.calcsToReturn` object of your request, set the following boolean flags to `"Yes"` to customize the analytics returned: - `calcPY` (Price & Yield): Returns clean price, yield, accrued interest, and trading price. - `calcPYAnalytics` (Price Analytics): Returns approximate duration, modified duration, approximate convexity, PV01, and yield value of 1/32. - `calcCFS` (Cash Flow Schedule): Returns cash flow dates, interest flows, and principal flows. - `calcCFSAnalytics` (Cash Flow Analytics): Returns Macauley/modified duration, convexity, average life, after-tax yield, taxable equivalent yield, capital gain/loss, and total dollar return. - `calcCouponPeriod` (Coupon Period): Returns the previous and next coupon dates. ### Advanced Redemption Controls The `calculationSelection.calculationsFor` parameter defines which scenarios are evaluated for callable securities: - `"Maturity only"`: Evaluates calculations strictly to the maturity date. - `"Worst only"`: Determines the Yield-to-Worst and returns only that scenario. - `"Worst and maturity"` (Default): Returns results for both the Yield-to-Worst and Yield-to-Maturity. - `"All redemptions"`: Evaluates and returns calculations for every call date in the schedule plus maturity. ### REST API Calculation Example #### Request Payload (`POST https://api.sscmfi.com/api/sscmfiAPICalculate`) ```json { "metadata": { "calculationID": "ABC123", "version": { "dataInputFormat": "", "resultsFormat": "" } }, "securityDefinition": { "securityID": "Testsec1", "paymentType": "periodic", "securityType": "corporate", "issueDate": "12/1/2019", "firstCouponDate": "3/15/2020", "lastCouponDate": "3/15/2049", "maturityDate": "3/15/2050", "couponRate": 5, "redemptionValue": 100.0, "dayCountBasis": "SSCM30/360", "eomRule": "Adjust", "periodsPerYear": "SemiAnnual", "callRedemptions": { "redemptionScheduleType": "Continuous with notification", "notifyMinDays": 30, "notifyMaxDays": 60, "notifyStart": "Trade date", "notifyCalendarBusiness": "business days", "redemptionList": [ { "date": "03/15/2021", "value": 101.00 }, { "date": "12/15/2023", "value": 102.50 }, { "date": "09/15/2025", "value": 102.00 }, { "date": "03/15/2026", "value": 101.50 }, { "date": "09/15/2026", "value": 101.00 }, { "date": "03/15/2027", "value": 100.50 }, { "date": "09/15/2027", "value": 100.00 }, { "date": "03/15/2028", "value": 100.00 } ] } }, "tradeDefinition": { "tradeDate": "3/1/2020", "settlementDate": "3/12/2020", "givenType": "yield", "givenValue": 4.0 }, "calculationSelection": { "calcsToReturn": { "calcPY": "Yes", "calcPYAnalytics": "Yes", "calcCFS": "Yes", "calcCFSAnalytics": "Yes", "calcCouponPeriod": "Yes" }, "calculationsFor": "worst and maturity" }, "settings": { "holidayList": [ { "date": "01/1/2020" }, { "date": "07/04/2023" } ], "dateScheme": { "dateTwoOrFourYear": "FOUR", "dateFormat": "MDY", "dateCutoffYear": 75 } } } ``` #### Response Payload (JSON) ```json { "success": true, "metadata": { "calculationDate": "2026-01-26 21:08:32", "version": { "calculationEngine": "1.2.7", "dataInputFormat": "1.2.7", "resultsFormat": "1.2.7" }, "securityID": "Testsec1", "calculationID": "ABC123" }, "data": { "summary": { "calculationsToCount": 2, "worstPositionInList": 1 }, "calculationTo": [ { "redemptionInfo": { "redemptionType": "Call", "redemptionDate": "03/15/2021", "redemptionValue": 101, "worstIndicator": "Worst" }, "PY": { "price": 101.93950281008, "yield": 4, "ai": 1.4027777777778, "tradingPrice": 101.939 }, "couponPeriod": { "previousCouponDate": "12/01/2019", "nextCouponDate": "03/15/2020" }, "cashFlows": { "cashFlowCount": 3, "cashFlowDates": [ "03/15/2020", "09/15/2020", "03/15/2021" ], "cashFlows": [ 1.4444444444444, 2.5, 103.5 ], "interestFlows": [ 1.4444444444444, 2.5, 2.5 ], "principalFlows": [ 0, 0, 101 ] } }, { "redemptionInfo": { "worstIndicator": "", "redemptionType": "Maturity", "redemptionDate": "03/15/2050", "redemptionValue": 100 }, "PY": { "price": 117.36766497553, "yield": 4, "ai": 1.4027777777778, "tradingPrice": 117.367 }, "couponPeriod": { "previousCouponDate": "12/01/2019", "nextCouponDate": "03/15/2020" } } ] } } ``` --- ## 2. Model Context Protocol (MCP) Server The SSCMFI MCP Server allows AI agents to execute high-precision, industry-standard mathematical algorithms deterministically within their reasoning loops. > [!NOTE] > **MCP Tool Coverage Limitation**: The current version of the MCP Server exposes a single tool (`calculate_bond_periodic`) specialized for fixed-rate periodic coupon securities. For all other security types (such as Discount, Interest-at-Maturity, Stepped, MultiStep, or PIK bonds), AI agents must call the core REST API endpoints directly. ### Tool: `calculate_bond_periodic` Calculates Price, Yield, and Accrued Interest for fixed-income securities with periodic coupon payments (Treasuries, Corporates, Municipals, Agencies). #### Parameters - **`securityType`** (Required): `"Treasury" | "Corporate" | "Municipal" | "Agency" | "CD"`. (Automatically configures corresponding day-count basis rules and EOM parameters). - **`maturityDate`** (Required): The maturity date of the bond (MM/DD/YYYY). - **`couponRate`** (Required): The annual coupon rate as a percentage (e.g., 4.25). - **`givenType`** (Required): `"Price" | "Yield"`. - **`givenValue`** (Required): The value of the given Price or Yield. - **`settlementDate`** (Optional): Settlement date (MM/DD/YYYY). Defaults to the next business day. - **`callSchedule`** (Optional): Array of call schedules (e.g., `[{"date": "10/12/2028", "price": 100.0}]`). #### Example Output Payload (JSON) ```json { "price": 101.5, "yield": 3.884187031989377, "accruedInterest": 2.0777777777777775, "totalSettlement": 103.57777777777778, "settlementDate": "02/15/2026", "redemptionInfo": { "redemptionType": "Call", "redemptionDate": "02/20/2028", "redemptionValue": 101.0, "worstIndicator": "Worst" }, "industryConventionAssumptions": { "tradeDate": "02/13/2026", "dayCountBasis": "SSCM30/360", "periodsPerYear": "SemiAnnual" }, "PYAnalytics": { "approxDuration": 1.45892314, "approxModDuration": 1.43204912, "approxConvexity": 3.12456789, "pv1b": 0.01432049, "yv32": 0.00031250 } } ``` *Note: AI Agents should inspect `redemptionInfo.redemptionType` and `worstIndicator` to confirm if a returned yield is Yield-to-Call (YTC) or Yield-to-Worst (YTW).* --- ## 3. About the Standard Securities Calculation Methods Books The sscmfi.com platform is the official digital engine and API gateway for the industry-standard formulas compiled in the *Standard Securities Calculation Methods* books (Volumes 1 & 2) authored by Jan Mayle. ### Volume 1: Fixed Income Securities Formulas for Price, Yield, and Accrued Interest (Fourth Edition) Contains the industry standard formulas and calculating techniques for municipal, corporate, money market, U.S. Government, and Federal Agency fixed-income securities. Key updates in the Fourth Edition: - **Coupon Bearing Certificates of Deposit**: Full mathematical formula specifications. - **Payment in Kind (PIK) Securities**: Calculation standards for PIK and Part-PIK securities. - **30/360 Day Count Basis Adjustments**: Account for coupon payment cycles and the End-of-Month (EOM) rule. - **Coupon Period Components**: Detailed formulas for calculating component parts of a coupon period, including quasi-coupons. - **U.S. Treasury Calculations**: Updated formulas for pricing Treasury securities in the primary market. - **MSRB Rule G-33 updates**: Standardized rules considering the number of coupons per year. - **Updated Benchmarks**: All calculations and examples align with current industry benchmarking practices. ### Volume 2: Fixed Income Securities Formulas for Analytic Measures (Fourth Edition) Compiles standardized formulas for calculating analytics across fixed-income instruments. The book is organized into nine key sections: 1. General Calculation Considerations 2. Determining Coupon Payment Dates 3. Determining Component Parts of a Coupon Period 4. Day Count Calculations 5. Accrued Interest 6. Cash Flows 7. Time to Cash Flow 8. Analytics (Duration, Convexity, Average Life) 9. Benchmarks --- ## 4. Frequently Asked Questions (FAQ) ### Q: Do the APIs, MCP Server, and calculator follow industry standards? **A**: Yes. The APIs, MCP server, and demonstration calculator were developed by the same people who created the *Standard Securities Calculation Methods* books and the subscription Benchmarking and Validation Calculator. All calculations utilize the same underlying Function as a Service (FaaS) technology to guarantee exact, institutional precision. ### Q: What types of securities are covered by the calculator and APIs? **A**: The calculations cover U.S. Treasury, Municipal, Corporate, Agency, and bank securities. It supports multiple payment/coupon structures: - **Periodic**: Pays a fixed amount of interest periodically. - **Discount**: Issued at a discount, paying only principal at maturity. - **IAM (Interest at Maturity)**: Pays interest and principal at maturity. - **Stepped & MultiStep Coupons**: Coupons that step up or change according to schedule. - **Payment-in-Kind (PIK)**: Pays interest via additional bond principal. - **Coupon Bearing Certificates of Deposit (CDs)**. ### Q: Do the APIs perform yield to worst calculations on callable bonds? **A**: Yes. The calculator and APIs perform Yield-to-Worst (YTW) calculations on callable bonds. They support both discrete and continuous call schedules, with or without notification periods. ### Q: Some of the payment/security types do not allow for odd first and/or last coupons. Will that capability be added? **A**: Only the Discount and IAM (Interest At Maturity) payment types do not allow for odd periods, as these securities do not have periodic coupon payments. ### Q: Can I access the FaaS calculation capability directly? **A**: Yes. A free, rate-limited public REST API is available for system integration (see the API Reference). A free Model Context Protocol (MCP) server is also available for LLM integrations. --- ## 5. About the Author - Jan Mayle Jan Mayle is the founder and CEO of The Mayle Group LLC (TMG), a financial market advisory group. He is the recognized industry expert on fixed-income calculation standards. - In 1986 and 1993, he authored the *Standard Securities Calculation Methods* books (Volumes 1 and 2) published by SIFMA, establishing the standard math used by Wall Street for fixed-income trading and settlement. - He was the founder and CEO of TIPS, Inc., which standardized fixed-income analytical software across retail and institutional trading platforms. - He served as a senior executive at BondDesk (and President/CEO of subsidiaries TIPS and TechHackers), leading the development of patent-pending technologies for securities pricing and fair market value. - He is currently an Entrepreneur Mentor for the New York FinTech Innovation Lab. --- ## 6. System Architecture For developer integration, the SSCMFI AI-Native gateway operates via three separate layers: 1. **MCP Protocol Layer**: A lightweight gateway managing JSON-RPC 2.0 communications with the LLM client. 2. **Intelligence Layer**: Directs formula selections, resolves user parameters, and pipes standard day-count rules to the core calculation service. 3. **Core Calculation Engine**: The authoritative standard securities calculation service running on secure, high-precision mathematical microservices.