# Resources

Blog-style articles that help you understand derivatives better by pricing them in Excel.
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## Bonds

Articles relating to bonds

## Bootstrapping in Excel a Yield Curve to perfectly fit Bloomberg Price/Yield Quotes of US Treasury Bills, Notes and Bonds

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...
7940 Hits
7940 Hits

## Floating Rate Notes (FRN) in Excel: Understanding Duration, Discount Margin and KRD

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 rate...
20953 Hits
20953 Hits

## Bond Key Rate Duration (KRD) in Excel: Calculating and Understanding

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 Ke...
19984 Hits
19984 Hits

## Parametric Yield Curve Fitting to Bond Prices under constraints: The National Bank of Georgia case

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...
7008 Hits
7008 Hits

## Over 30 Bond Risk Management Functions in Excel: Clean & Dirty Price, Yield, Duration, Convexity, BPS, DV01, Z-spread etc

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 non...
8359 Hits
8359 Hits