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Ioannis Rigopoulos
Ioannis Rigopoulos
04 March 2018
Parametric Yield Curve Fitting to Bond Prices: The Nelson-Siegel-Svensson method
Parametric Yield Curve Fitting to Bond Prices: The Nelson-Siegel-Svensson method
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Yield Curve
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
Ioannis Rigopoulos
23 April 2020
Carry and Roll-Down of USD Interest Rate Swaps in Excel with Bloomberg Comparison
Carry and Roll-Down of USD Interest Rate Swaps in Excel with Bloomberg Comparison
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Interest Rate
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
Ioannis Rigopoulos
06 March 2019
FX Spots, Forwards, Swaps and Curves in Excel
FX Spots, Forwards, Swaps and Curves in Excel
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Yield Curve
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
Ioannis Rigopoulos
29 November 2018
Overnight Index Swap (OIS): Pricing and Understanding using Excel
Overnight Index Swap (OIS): Pricing and Understanding using Excel
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Interest Rate
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
Ioannis Rigopoulos
25 October 2018
How to compute the VaR: Step-by-Step Excel Guide
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
Ioannis Rigopoulos
17 April 2019
Perfect Bloomberg Price Match of an Interest Rate Swap in Excel by using Dual Bootstrapping
Perfect Bloomberg Price Match of an Interest Rate Swap in Excel by using Dual Bootstrapping
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Yield Curve
Interest Rate
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
Ioannis Rigopoulos
13 November 2020
How to build a SOFR Yield Curve in Excel using QuantLib and Deriscope
How to build a SOFR Yield Curve in Excel using QuantLib and Deriscope
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Yield Curve
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
Ioannis Rigopoulos
26 March 2020
USD Interest Rate Swap: Cash Flows and DV01 in Excel using Bloomberg Market Data
USD Interest Rate Swap: Cash Flows and DV01 in Excel using Bloomberg Market Data
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Interest Rate
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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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.
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Ioannis Rigopoulos

Libor Cessation: Price and Risk of existing Vanilla Interest Rate Swaps by applying the ISDA Fallback Protocol

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Today, the sum of the notional amounts of all financial products referencing the USD LIBOR is estimated to $400 trillion. These are diverse products ranging from derivatives such as interest rate swaps to consumer products such as student loans and home mortgages. About $170 trillion are in outstanding swaps, of which one third have maturities beyo...

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interest rates Deriscope quantlib excel spreadsheet libor libor transition fallback libor cessation libor fallback spread adjustment swaps
Ioannis Rigopoulos

Libor Transition Impact on Portfolio Pricing: A Comparative Study with and without the published Bloomberg Spread Adjustments

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Everybody these days seems to ask the same question: On D-Day when LIBOR will cease to exist and pricing will rely solely on risk-free reference rates like SOFR or SONIA and the Spread Adjustments published by Bloomberg, what will the impact on portfolio pricing be? The mechanics of pricing a single USD interest rate swap with and without the ISDA-...

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interest rates portfolio Deriscope quantlib excel spreadsheet libor libor transition fallback libor cessation libor fallback swaps swap rates portfolio pricing portfolio risk