Resources

Blog-style articles that help you understand derivatives better by pricing them in Excel.
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Articles relating to bonds

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

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

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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.While there exist several different Duration definitions that produce slightly different results, the one that is most closely related to the Key Rate Duration is the Modified Duration D, which may be...
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Parametric Yield Curve Fitting to Bond Prices under constraints: The National Bank of Georgia case

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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.As I have explained in my related article, QuantLib is capable of solving the respective parametric equations treating the model parameters as unknown.Due to the...
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Over 30 Bond Risk Management Functions in Excel: Clean & Dirty Price, Yield, Duration, Convexity, BPS, DV01, Z-spread etc

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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...
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