Yield Curve
https://blog.deriscope.com/index.php/en/categories/yield-curve
Fri, 24 May 2019 09:33:20 +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 +0000Currency Swaps and Basis Curves in Excel
https://blog.deriscope.com/index.php/en/excel-currency-swap-curve
https://blog.deriscope.com/index.php/en/excel-currency-swap-curve The basic concepts of spot fx rates , forward fx contracts, fx swaps and the construction of foreign yield curves out of fx forward rates have been described in detail in my previous fx rates article . While these instruments cover the short end of the maturity spectrum – typically about a year -, the tenor of so-called currency swaps (also ...]]>AllThu, 14 Mar 2019 14:10:56 +0000FX Spots, Forwards, Swaps and Curves in Excel
https://blog.deriscope.com/index.php/en/excel-fx-forward-swap-curve
https://blog.deriscope.com/index.php/en/excel-fx-forward-swap-curve Assume you possess N d units of a currency DOM regarded as domestic currency. For example, you live in the US and hold 1,000 USD , ie. N d = 1,000 and DOM = USD . For whatever reasons, you want to replace this money with their equivalent number of units N f of another currency FOR regarded as foreign currency. For concreteness think of FOR like i...]]>AllWed, 06 Mar 2019 17:58:43 +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 +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 +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 +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