Hi,I am trying to calculate deltas in excel for a swap pricer which requires bumping up individual rates of various instruments and maturities which were used to build the yield curve by a basis point and see what affect this has on the price of the swap. This has to be done one by one on each rate and cannot be done altogether. So basically I will end up with a list of LIBORs, futures and swaps with their deltas. Can anyone help me figure out how to do this in excel? The only way I can think of at the moment is copying the sheet for each instrument and adjusting each rate. This obviously is very inefficient and makes the model very slow.Thanks,Akash

Yes, bumping each par rate and recomputing the curve and swap values is the usual procedure. This shouldn't take more than the blink of an eye with modern hardware. You might want to investigate the "delta vector" concept explained in Miron and Swannell's "Pricing and Hedging Swaps". The math there is a bit dense but the concept is explained clearly.

QuoteOriginally posted by: akash88Hi,I am trying to calculate deltas in excel for a swap pricer which requires bumping up individual rates of various instruments and maturities which were used to build the yield curve by a basis point and see what affect this has on the price of the swap. This has to be done one by one on each rate and cannot be done altogether. So basically I will end up with a list of LIBORs, futures and swaps with their deltas. Can anyone help me figure out how to do this in excel? The only way I can think of at the moment is copying the sheet for each instrument and adjusting each rate. This obviously is very inefficient and makes the model very slow.Thanks,Akash

QuoteOriginally posted by: akash88Hi,I am trying to calculate deltas in excel for a swap pricer which requires bumping up individual rates of various instruments and maturities which were used to build the yield curve by a basis point and see what affect this has on the price of the swap. Thanks,AkashHiA generic risk tool which bumps every individual element of a specified input vector and spews out the sensitivity in the same format as the input vector would be a very useful tool. Best is to spend a litte time and have it done in VBA. You could start with just recording a macro for the shifts and then working on the code. When you bump make sure you do the average of an up bump and down bump (this does not matter for a vanilla swap ) because you will in general not get the correct sensitivity if you just bump one direction. This does not take much time in Excel.You could also easily get second order sensitivities by again naively bumping the input vector again around the first order output vector. This will take some time.But basically if possible do not restrict yourself to just getting the delta of a swap while making ur risk tool.Without much additional work you can have a pretty robust (maybe slow for something like a caplet volsurface depending on type of trade) risktool which gives you the sensitivity of your PV to the bumping up and down of any market input vector that your "PV " cell in any sheet in excel depends upon. The PV cell can be the PV of any trade...