2 minutes reading time (343 words)

Yield Curve Building in Excel using Deposits, Futures and Swaps


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 swaps.

The usual practice though is to combine all these instruments as input data to a single curve generation. 

Creating a Yield Curve

The Deriscope wizard lets you select multiple instruments types as demonstrated in the following video.

To keep things simple I make no other selections or fine tunings.

This is the generated spreadsheet formula: 

Understanding the formula

As you see, cell A1 contains the formula =ds(A2:B11;A13;A14:B16;A18;A19:C21;A23;A24:C26), which takes 7 input arguments and returns the text &YldCrv_A1:1.1

The first input argument contains global conventions that apply to all deposit, futures and swap input data.

The remaining arguments supply the tables with the respective market rates.

Because the cell A1 containing the handle name of the created Yield Curve object is selected, the full contents of that object are displayed in the Browse Area of the wizard.

There you see even default content that is not part of the spreadsheet input as demonstrated below:

Using the Yield Curve object

For this I would refer you to the respective section of the Yield Curve out of Deposit Rates article 

  You may download the spreadsheet produced with the above steps here.

You may also want to watch the following video tutorial with voice narration that deals with the subject of the current article including the application of a cubic spline interpolation scheme: 

Feel free to contact me if you want to share any thoughts with regard to this product or if you want to request any particular features. Contact info and social media links are available at my web site https://www.deriscope.com 

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Yield Curve Building in Excel using Swap Rates