wilmott.com

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

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. 

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).