Interest rates module
Calculate various risk and performance measures within a specified time periods, based on the historical data.
Instrument coverage and functionality
22 functions related to risk and performance measuresFunctions in this module perform the following calculations:
- Converting interest rate from one compounding basis to another
- Interest rate given discount factor and vice versa
- Interest rate / discount factor given interest rate curve / discount factor curve
- Forward rate given interest rate curve / discount factor curve
- Expected CPI given expected CPI curve and seasonality curve
- The number of days/years between two dates, according to the most commonly used day-count methods
In most functions you can change start and end dates, time period of the price changes (days, week, month…), define whether the changes are overlapped or not, exclude a specific period etc.
Excel examples and templates
Excel workbook with several spreadsheets illustrating the use of functionsExcel workbook accompanied with the module include examples of all functions related to interest rate calculations. We recommend to use the relevant workbooks before your first use of the specific function.
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Windows 7 – 10
Frequent questions
What is the purpose of this module?
The functions in this module allow you to perform various calculations with interest rates, discount factors and interpolations, saving time of manual calculations.
What types of interpolations are covered in this module?
There are four types of interpolations that are currently covered – linear, log linear, exponential and cubic spline.
What types of compounding methods are covered in this module?
The following methods are covered – annual, semiannual, quarterly, monthly, simple and continuous.
What types of day count methods are covered in this module?
The following methods are covered – act/act, act/360, act/365, 30/360, 30E/360, 30U/360, 30I/360, 30G/360 and NL-365.