Resources

Blog-style articles that help you understand derivatives better by pricing them in Excel.
Includes articles relating to working with interest rates and their derivatives in Excel through Deriscope

Risk free Yield Curve Building in Excel using Negative Overnight Index Swap (OIS) Rates

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Long are the dates when all-purpose risk free yield curves were produced out of deposits, futures and swaps. Since the credit crisis of 2007/08, banks realized they should use different curves for different purposes. In the intervening years, quants have proven mathematically that uncollateralized contingent flows should be discounted using a curve...
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123 Hits
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Overnight Index Swap (OIS): Pricing and Understanding using Excel

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Overnight Index Swaps ( OIS ) may be priced in Excel using the free and open source derivatives analytics QuantLib library through the Deriscope Excel interface. An OIS contract is very similar to a plain vanilla interest rate swap , the only difference being that each payment in the floating leg is calculated according to a floating number F that ...
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  156 Hits
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156 Hits
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USD Swaption Pricing in Excel using SABR Stochastic Volatility and Market Vol Cube from CME

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The pricing of exotic interest rate products cannot ignore the so called market volatility cube that is made daily available by several swaption brokers. Traders often use the SABR Stochastic volatility model in order to estimate vols off the provided grid. In this article I will show you how to price an out-of-the-money swaption by applying SABR c...
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1879 Hits
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USD Swaption Pricing in Excel using the Bachelier Model and Market Normal Vols from CME

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The Chicago Mercantile Exchange ( CME ) clears European swaption trades on 3-month USD LIBOR since April 2016 and has thus become the first major exchange that lists Over-The-Counter (OTC) interest rate products with optionality. The standardized swaption contracts have 5 different expiries - 1M, 3M, 6M, 1Y, 2Y – and 7 underlying swap tenors - 1Y, ...
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1835 Hits
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Swaption Pricing in Excel: 14 Free QuantLib Models plus Implied Volatility Surface and Cube

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Most people are unaware of the fact that free and open source QuantLib comes with a great variety of modelling approaches when it comes to pricing an interest rate European swaption in Excel that surpasses what is offered by expensive commercial products. In fact, 14 different modelling approaches are implemented, whereby the Black approach does no...
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3022 Hits
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Excel Builder and Cash Flow Viewer for Non-Standard Interest Rates Swaps

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Building, pricing and analyzing even non-standard interest rate swaps in Excel becomes a simple exercise when the Deriscope interface to the open source QuantLib analytics library is employed. We have already encountered a simple interest rate swap contract in the Yield Curve Building in Excel using Swap Rates article, where vanilla swaps were used...
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1552 Hits
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Time for a coffee break? Understanding Time and its implications on Interest Rates

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With this article I want to give you an intuitive feeling of the concept of interest rate and also show you how to work with various types of interest rates – such as a compounded interest rate - in Excel as accurately as market professionals do. Contrary to the four-dimensional space-time of relativistic physics, financial stochastic processes evo...
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  426 Hits
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426 Hits
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Yield Curve Building in Excel using Deposits, Futures and Swaps

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With this article I want to show you how to create a yield curve in Excel using the open source QuantLib analytics library, when the input market data are a mixture of deposit rates, futures prices and swap rates. I have already written how you may build a yield curve using a single type of market instruments, such as deposits , futures  or sw...
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1020 Hits
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Yield Curve Building in Excel using Swap Rates

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With this article I want to show you how to create a yield curve in Excel using the open source QuantLib analytics library, when the input market data are swap rates. I will also show you how to apply dual bootstrapping when an exogenous yield curve is present. For short term maturities – typically less than a year – the yield curve may be built ou...
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2657 Hits
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Yield Curve Building in Excel using Futures

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With this article I want to show you how to create a yield curve in Excel using the open source QuantLib analytics library, when the input market data are futures prices. The futures convexity will be taken into account. I explained how you may build a yield curve in Excel out of forward rates in my previous article . In reality, forward rates are ...
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1026 Hits
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Yield Curve Building in Excel using Forward Rates

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With this article I want to show you how to create a yield curve in Excel using the open source QuantLib analytics library, when the input market data are forward rates. My previous article  focused on building a yield curve in Excel out of deposit rates in general and Libor rates in particular. These rates cover the short range of the maturit...
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948 Hits
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Yield Curve Building in Excel using Deposit (LIBOR) Rates

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With this article I want to show you how to create a yield curve in Excel using the open source QuantLib analytics library, when the input market data are deposit rates – such as Libor rates -, which are a special type of interest rates called zero rates. As I describe in my article about interest rates , a deposit rate - effectively the interest r...
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1566 Hits
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