Resources

Blog-style articles that help you understand derivatives better by pricing them in Excel.
Articles relating to the various types of yield curves that may be built in Excel using 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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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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984 Hits
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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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2900 Hits
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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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1158 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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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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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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