Resources

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

Includes articles relating to pricing credit-linked financial instruments such as bonds, credit default swaps etc in Excel through Deriscope

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

cover
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...
Continue reading
  260 Hits
  0 Comments
260 Hits
0 Comments

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

cover
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...
Continue reading
  4010 Hits
  0 Comments
4010 Hits
0 Comments

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

cover
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...
Continue reading
  1757 Hits
  0 Comments
1757 Hits
0 Comments

Credit Default Swap (CDS) Pricing in Excel using QuantLib

cover
Free and open source QuantLib supports the precise valuation of Credit Default Swaps (CDS) in Excel. A CDS contract specifies N payment times T1, T2, …, TN at which, counterparty A (the Protection Seller) receives a pre-agreed fixed amount from counterparty B (the Protection Buyer) provided that a pre-defined credit event – such as the default of s...
Continue reading
  3527 Hits
  0 Comments
3527 Hits
0 Comments

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

cover
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...
Continue reading
  2285 Hits
  0 Comments
2285 Hits
0 Comments

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

cover1
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 demonstrated at my previous article.The latter impose a parametric form on some mathematical quantity implied by the produced yield curve.The following parametri...
Continue reading
  11904 Hits
  0 Comments
11904 Hits
0 Comments

Yield Curve Building in Excel using Bond Prices (QuantLibXL vs Deriscope)

cover
With this article I want to show you how to create a bond yield curve in Excel, i.e. a yield curve out of bond prices, using the open source QuantLib analytics library. I will present both alternative spreadsheet interfaces to QuantLib, which are the QuantLibXL and Deriscope.The main use of a yield curve is that it allows us to calculate the p...
Continue reading
  3323 Hits
  0 Comments
3323 Hits
0 Comments