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