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unquantifiable
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Posts: 31
Joined: March 1st, 2003, 4:43 am

Reuters - interest rate swap spreadsheets

September 8th, 2004, 8:32 am

hihi...reuters have some spreadsheets for pricing / valuation of IRSs (restricted to vanilla, say...) and a zero curve constructed from swaps / futures / swaps... can't make much out of it as its all password protected and no formulas are visible...any one worked on the sheet? is it any good at all? any known issues / bugs?the numbers seem to be reasonable but am not sure it is reliable.(must mention that i don't trust reuters very much but there are some extraneous issues involved ...)appreciate comments...thnksp.s. the sheets can be acessed from the 'get going' sheet
 
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DavidJN
Posts: 1728
Joined: July 14th, 2002, 3:00 am

Reuters - interest rate swap spreadsheets

September 8th, 2004, 5:57 pm

If I recall correctly, the Excel add-in sold by Reuters is called AdFin and is made by a French analytics company called Marvin. Attached is a small zipped PDF file which has some details about zero curve building in Reuters, which should hopefully be useful.
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Zero_Calculations_Reuters.zip
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Icecloud
Posts: 124
Joined: September 24th, 2001, 8:20 am

Reuters - interest rate swap spreadsheets

September 8th, 2004, 11:13 pm

I've used that module before to price plain vanilla IRS stuff and its pretty ok, but really more used to the SWPM function of Bloomie. Reckon for plain vanilla IR stuff it should be fine, but for exotics I haven't really used it though.
 
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unquantifiable
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Posts: 31
Joined: March 1st, 2003, 4:43 am

Reuters - interest rate swap spreadsheets

September 13th, 2004, 3:08 am

Thanks...icecloud and david...for your help.
 
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rhmari
Posts: 21
Joined: May 27th, 2005, 10:12 am

Reuters - interest rate swap spreadsheets

May 27th, 2005, 11:02 am

hido u have a vanilla IRS Pricer in a VB or Excel Format?i 'am working with reuters too,i can capture the discount factors from reuters but i need to developp an excel sheet or a VBA function to price an IRS?thanks you for helping me
 
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DavidJN
Posts: 1728
Joined: July 14th, 2002, 3:00 am

Reuters - interest rate swap spreadsheets

May 27th, 2005, 2:30 pm

Swap valuation functionality comes with Reuters Powerplus Pro. See the following link for some details:http://hkkk.fi/database/accounting/rese ... book.pdfIt comes with sample spreadsheets as well.And no, I don't work for Reuters.
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