Interest Rate
https://blog.deriscope.com/index.php/en/categories/interest-rate
Fri, 24 May 2019 09:19:49 +0000Joomla! - Open Source Content Managementen-gbPerfect Bloomberg Price Match of an Interest Rate Swap in Excel by using Dual Bootstrapping
https://blog.deriscope.com/index.php/en/excel-interest-rate-swap-price-dual-bootstrapping-curve
https://blog.deriscope.com/index.php/en/excel-interest-rate-swap-price-dual-bootstrapping-curveUp until the financial crisis of 2008, the price calculation of an interest rate swap involved only the so-called Libor curve. The latter was essentially the discount factors (or equivalently zero rates or forward rates) implied by market-traded instruments, such as deposits, futures, forwards and swaps. The Libor curve was used to derive everythin...]]>AllWed, 17 Apr 2019 15:13:09 +0000Risk free Yield Curve Building in Excel using Negative Overnight Index Swap (OIS) Rates
https://blog.deriscope.com/index.php/en/yield-curve-excel-quantlib-ois
https://blog.deriscope.com/index.php/en/yield-curve-excel-quantlib-oisLong 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...]]>AllMon, 03 Dec 2018 18:01:06 +0000Overnight Index Swap (OIS): Pricing and Understanding using Excel
https://blog.deriscope.com/index.php/en/excel-quantlib-overnight-index-swap
https://blog.deriscope.com/index.php/en/excel-quantlib-overnight-index-swapOvernight 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 ...]]>AllThu, 29 Nov 2018 17:45:53 +0000USD Swaption Pricing in Excel using SABR Stochastic Volatility and Market Vol Cube from CME
https://blog.deriscope.com/index.php/en/excel-quantlib-swaption-sabr
https://blog.deriscope.com/index.php/en/excel-quantlib-swaption-sabrThe 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...]]>OptionsSun, 22 Apr 2018 17:30:10 +0000USD Swaption Pricing in Excel using the Bachelier Model and Market Normal Vols from CME
https://blog.deriscope.com/index.php/en/excel-quantlib-swaption-bachelier
https://blog.deriscope.com/index.php/en/excel-quantlib-swaption-bachelierThe 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, ...]]>OptionsWed, 11 Apr 2018 21:29:26 +0000Swaption Pricing in Excel: 14 Free QuantLib Models plus Implied Volatility Surface and Cube
https://blog.deriscope.com/index.php/en/excel-quantlib-swaption
https://blog.deriscope.com/index.php/en/excel-quantlib-swaptionMost 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...]]>Interest RateSun, 25 Mar 2018 13:49:58 +0000Excel Builder and Cash Flow Viewer for Non-Standard Interest Rates Swaps
https://blog.deriscope.com/index.php/en/excel-quantlib-interest-rate-swap
https://blog.deriscope.com/index.php/en/excel-quantlib-interest-rate-swapBuilding, 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...]]>Interest RateSun, 11 Mar 2018 20:01:09 +0000Time for a coffee break?
Understanding Time and its implications on Interest Rates
https://blog.deriscope.com/index.php/en/interest-rates-excel-quantlib
https://blog.deriscope.com/index.php/en/interest-rates-excel-quantlibWith 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...]]>Interest RateWed, 07 Mar 2018 16:28:46 +0000Yield Curve Building in Excel using Deposits, Futures and Swaps
https://blog.deriscope.com/index.php/en/yield-curve-excel-quantlib-deposit-futures-swap
https://blog.deriscope.com/index.php/en/yield-curve-excel-quantlib-deposit-futures-swapWith 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...]]>Yield CurveThu, 01 Mar 2018 15:00:18 +0000Yield Curve Building in Excel using Swap Rates
https://blog.deriscope.com/index.php/en/yield-curve-excel-quantlib-swap
https://blog.deriscope.com/index.php/en/yield-curve-excel-quantlib-swapWith 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...]]>Yield CurveWed, 28 Feb 2018 09:21:48 +0000Yield Curve Building in Excel using Futures
https://blog.deriscope.com/index.php/en/yield-curve-excel-quantlib-futures
https://blog.deriscope.com/index.php/en/yield-curve-excel-quantlib-futuresWith 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 ...]]>Yield CurveMon, 26 Feb 2018 21:44:37 +0000Yield Curve Building in Excel using Forward Rates
https://blog.deriscope.com/index.php/en/yield-curve-excel-quantlib-forward
https://blog.deriscope.com/index.php/en/yield-curve-excel-quantlib-forwardWith 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...]]>Yield CurveMon, 26 Feb 2018 10:36:31 +0000Yield Curve Building in Excel using Deposit (LIBOR) Rates
https://blog.deriscope.com/index.php/en/yield-curve-excel-quantlib-deposit
https://blog.deriscope.com/index.php/en/yield-curve-excel-quantlib-depositWith 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...]]>Yield CurveFri, 23 Feb 2018 08:57:15 +0000