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cprasad
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Posts: 6
Joined: September 9th, 2016, 3:47 am

Implementation of interest rate models in Excel

March 12th, 2017, 12:07 pm

I am looking for a book on implementation of interest-rate models (like Vasicek Model, CIR, BDT, HJM) in
MS Excel. I would greatly appreciate it if someone could help me.
 
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outrun
Posts: 4573
Joined: January 1st, 1970, 12:00 am

Re: Implementation of interest rate models in Excel

March 12th, 2017, 12:52 pm

Sounds like a big-ish project? You choice of excel makes me think you're using it at a small corporate (not large and also not research). To get it "right" (and validated?) you'll probably end up having to implement a lot of details like daycount conventions, bootstrapping etc etc. It this is the case then you might be better of to invest time into learning some framework that has all these details already setup for you. I've heard that quant-lib is used a lot, and there is an Excel addin: http://quantlib.org/quantlibxl/
 
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Hydraskull
Posts: 14
Joined: February 19th, 2016, 4:26 pm

Re: Implementation of interest rate models in Excel

March 15th, 2017, 1:23 pm

Check out "How to Implement Market Models Using VBA" by Francois Goosens.  The book isn't perfect, but I've found it helpful in implementing a few interest rate models:

http://www.wiley.com/WileyCDA/WileyTitl ... 62001.html
 
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Cuchulainn
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Joined: July 16th, 2004, 7:38 am
Location: 20, 000

Re: Implementation of interest rate models in Excel

March 27th, 2017, 7:42 pm

"Implementing models of financial derivaties" by Nick Webber. Discusses CIR, Vasicek + etc.