Credit
https://blog.deriscope.com/index.php/en/categories/credit
Tue, 26 Mar 2019 12:54:03 +0000Joomla! - Open Source Content Managementen-gbBond Key Rate Duration (KRD) in Excel: Calculating and Understanding
https://blog.deriscope.com/index.php/en/excel-quantlib-key-rate-duration
https://blog.deriscope.com/index.php/en/excel-quantlib-key-rate-durationYou 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...]]>AllWed, 12 Dec 2018 16:07:24 +0000Parametric Yield Curve Fitting to Bond Prices under constraints: The National Bank of Georgia case
https://blog.deriscope.com/index.php/en/yield-curve-excel-quantlib-nelson-siegel-const-param
https://blog.deriscope.com/index.php/en/yield-curve-excel-quantlib-nelson-siegel-const-paramBoth 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 ...]]>Yield CurveWed, 04 Apr 2018 13:18:59 +0000Credit Default Swap (CDS) Pricing in Excel using QuantLib
https://blog.deriscope.com/index.php/en/excel-quantlib-credit-default-swap
https://blog.deriscope.com/index.php/en/excel-quantlib-credit-default-swapFree 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...]]>CreditWed, 21 Mar 2018 20:57:17 +0000Over 30 Bond Risk Management Functions in Excel: Clean & Dirty Price, Yield, Duration, Convexity, BPS, DV01, Z-spread etc
https://blog.deriscope.com/index.php/en/excel-quantlib-bond
https://blog.deriscope.com/index.php/en/excel-quantlib-bondFree 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 ...]]>CreditSat, 17 Mar 2018 08:35:17 +0000Parametric Yield Curve Fitting to Bond Prices: The Nelson-Siegel-Svensson method
https://blog.deriscope.com/index.php/en/yield-curve-excel-quantlib-nelson-siegel-svensson
https://blog.deriscope.com/index.php/en/yield-curve-excel-quantlib-nelson-siegel-svenssonWhen 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...]]>Yield CurveSun, 04 Mar 2018 17:05:32 +0000Yield Curve Building in Excel using Bond Prices (QuantLibXL vs Deriscope)
https://blog.deriscope.com/index.php/en/yield-curve-excel-quantlib-bond
https://blog.deriscope.com/index.php/en/yield-curve-excel-quantlib-bondWith 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 ...]]>Yield CurveFri, 02 Mar 2018 16:39:07 +0000