What do you think of this book? I'd be interested to know what code is on the CD Rom before I buy it. Does the code cover interest rate models as well?Thanks,Marco

Yes, it does. Basically Part II, chapters 5 through 16 revolve around excel sheets and libraries. That includes binomial lattice of discount bonds, fra, swaps, swaptions as well as trinomial lattice for H-W and B-K. It's all in the table of contents. Full disclosure that I studied under one of the authors. Code is in-depth and contains a full numerical library of math/stats functions which, after getting used to, greatly enhances the ability of VBA/Excel to do some powerful math stuff way more efficiently than I ever could. Spreadsheets are used as the GUI with VBA doing all the work (the numerical libraries doing the heavy lifting mostly via matrices). With the numerical libraries, its a bit different from regular macros you may be used to.

Thanks - is the VBA code easy to understand and follow?