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BFP
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Posts: 24
Joined: July 11th, 2007, 1:21 pm

PV but not as i know it

February 24th, 2020, 8:22 pm

Hi,

Does anyone know what equation this is using? I need to implement in Python and cant figure out what the hell its doing

The Orange box is being calculated from t and spot rates

Thanks

BFP
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bearish
Posts: 6419
Joined: February 3rd, 2011, 2:19 pm

Re: PV but not as i know it

February 25th, 2020, 1:16 am

You are displaying the formula! It's an Excel array formula (invoked via Shift-Ctrl-Enter) and importantly, is pointing to cell B7, which presumably contains a spread. 
 
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bearish
Posts: 6419
Joined: February 3rd, 2011, 2:19 pm

Re: PV but not as i know it

February 25th, 2020, 2:02 pm

Each cell in row 6 contains the present value, as of that date, of all future cash flows, discounted at the initial spot rate curve plus a constant spread. It’s an elegant use of a relatively little known feature of Excel: you can perform element wise array operations with a single cell array formula (notice the curly brackets).