Free and open source QuantLib is capable of calculating several risk measures associated with the pricing of bonds and allows you to get in Excel quantities like clean and dirty price, duration, convexity, BPS, DO01, Z-spread etc. I have already showed you how to build a yield curve out of clean bond prices using either a parametric or no...
Both the Nelson Siegel method and its Svensson extension are very popular among central and other banks when the time spectrum of interest rates needs to be derived from market bond prices. If you are interested in non-parametric methods favored by relative value traders as they provide an exact fit to observed bond prices, these have been demonstr...
You are all familiar with the concept of bond Duration, which tells us how much a bond's price changes if its yield goes up or down by a small amount. In this post I will look into a less common but related concept that goes by the name Key Rate Duration. Table Of Contents Understanding the Duration ConceptDefinition and Rationale of K...
Deriscope exports in Excel over 30 functions that deal with bonds, as I have described in an earlier document about bond risk management functions. In spite of the fact that the referred functions apply to all types of bonds, including interest rate and inflation linked bonds, one should be cautious when the referenced bond does not pay a fixed rat...
I have already described the bootstrapping method for building a yield curve from various instrument types in the yield curve articles category. In particular, my post on Yield Curve Building in Excel using Bond Prices (QuantLibXL vs Deriscope) demonstrates how this is done in practice using a simplified theoretical setup consisting of three m...
