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Ioannis Rigopoulos

04 March 2018

Parametric Yield Curve Fitting to Bond Prices: The Nelson-Siegel-Svensson method

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When it comes to building a yield curve out of bond prices, QuantLib can handle both non-parametric and parametric methods, both deliverable to Excel through Deriscope. The former have been demonstrat...

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Ioannis Rigopoulos

23 April 2020

Carry and Roll-Down of USD Interest Rate Swaps in Excel with Bloomberg Comparison

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In my previous two posts I have shown how to calculate the price and DV01 of a single interest rate swap and how to do so with a book containing thousands of swaps. Now I turn my attention to the calc...

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Ioannis Rigopoulos

06 March 2019

FX Spots, Forwards, Swaps and Curves in Excel

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FX

Assume you possess Nd units of a currency DOM regarded as domestic currency. For example, you live in the US and hold 1,000 USD, ie. Nd = 1,000 and DOM = USD. For whatever reasons, you want to replac...

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Ioannis Rigopoulos

29 November 2018

Overnight Index Swap (OIS): Pricing and Understanding using Excel

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OIS

Overnight Index Swaps (OIS) may be priced in Excel using the free and open source derivatives analytics QuantLib library through the Deriscope Excel interface. Table Of Contents Overnight...

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Ioannis Rigopoulos

25 October 2018

How to compute the VaR: Step-by-Step Excel Guide

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VaR (Value at Risk)

The purpose of this article is to show you step-by-step how you can calculate the Value at Risk (VaR) of any portfolio by generating all simulation samples in the spreadsheet. This is great ...

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Ioannis Rigopoulos

17 April 2019

Perfect Bloomberg Price Match of an Interest Rate Swap in Excel by using Dual Bootstrapping

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Up until the financial crisis of 2008, the price calculation of an interest rate swap involved only the so-called Libor curve. The latter was essentially the discount factors (or equivalently zero rat...

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Ioannis Rigopoulos

13 November 2020

How to build a SOFR Yield Curve in Excel using QuantLib and Deriscope

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The markets expect that Libor will be gradually phased out as more investors and lenders prefer financial products tied to the Secured Overnight Financing Rate (SOFR) rather than the USD London Inter-...

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Ioannis Rigopoulos

26 March 2020

USD Interest Rate Swap: Cash Flows and DV01 in Excel using Bloomberg Market Data

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In this post I will make use of the realistic yield curves I built in Excel out of Bloomberg OIS, deposit, futures and Libor swap rates as of May 22, 2019 towards calculating the price and producing t...

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Resources

Blog-style articles that help you understand derivatives better by pricing them in Excel. If you choose a category from the list on the left and click on the appearing envelope icon, you will be notified by email when a new article is posted in that category.

Credit Default Swap (CDS) Pricing in Excel using QuantLib

Wednesday, 21 March 2018

Ioannis Rigopoulos

All Credit CDS

Free and open source QuantLib supports the precise valuation of Credit Default Swaps (CDS) in Excel. Table Of Contents CDS Description Creating a slimmed-down CDS object in 13 secondsCreating a full-fledged CDS objectUnderstanding the main formulaBrowsing the contents of a created CDS objectUsing the CDS objectThe Price functionAdditio...

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