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

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 ...
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Credit Default Swap (CDS) Pricing in Excel using QuantLib

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Free and open source QuantLib supports the precise valuation of Credit Default Swaps ( CDS ) in Excel. A CDS contract specifies N payment times T 1 , T 2 , …, T N 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 def...
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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 ...
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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 demonstrated at my previous article . The latter impose a parametric form on some mathematical quantity implied by the produced yield curve. The following param...
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Yield Curve Building in Excel using Bond Prices (QuantLibXL vs Deriscope)

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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 ...
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