| Spreadsheet
Applications available for free download |
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Three-Month Forward Rate Calculator
Please note the accompanying text for this Calculator can be found in the Fixed Income Markets section of Market Research. |
Stuart Turner - Oct 2004
free download (4KB)
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| Case study on boostrapping zero-coupon and forward rates using RATE software |
Mario Melchiori, Universidad Nacional del Litoral, Santa Fe, Argentina - June 2004
free download (16KB)
more details |
Finding Put Warrants on the Bloomberg
How the Bloomberg page SRCH can be used to find Warrants. We show the result of a search for UK Put Warrants, then how the details of any particular Warrant can be found using page DES, and how it can be valued as a put option using the screen OV. |
Abukar M Ali - Mar 2004
free download (65KB)
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| UK Gilt zero-coupon yield curve |
Didier Joannas - Oct 2003
free download (54KB)
more details |
| Relative value bond spread trade: repo funding calculator |
Didier Joannas - Oct 2003
free download (25KB)
more details |
Equity Swap hedge
This spreadsheet shows how an equity swap position can be hedged using caps and floors. We show the cashflows for each leg of the swap, under certain assumptions, as well as the cash flows that result from the hedge using either caps or floors. |
Abukar M Ali - Oct 2003
free download (10KB)
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| Archimidean Copula simulation |
Mario Melchiori - Oct 2003
free download (318KB)
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| Pricing a first-to-default contract |
Mario Melchiori - Oct 2003
free download (153KB)
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| Risk Neutral Default Probability |
Abukar M Ali - Jun 2003
free download (26KB)
more details |
| Risk Neutral Accompaniment |
Abukar M Ali - Jun 2003
free download (4KB)
more details |
| Monte Carlo simulation |
Abukar M Ali - Apr 2003
free download (65KB)
more details |
| Capital Guaranteed Equity Index Option Pricing Model: Black-Scholes Index Option Model and Monte Carlo simulation |
Abukar M Ali - Apr 2003
free download (53KB)
more details |
Black-Scholes VBA (demo model)
A worksheet for users to conduct an exercise by using the VBA codes shown to create the formulae applied in the BS spreadsheet. |
Abukar M Ali - Apr 2003
free download (11KB)
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| Convertible Bond Pricing calculator |
Abukar M Ali - Apr 2003
free download (16KB)
more details |
| Convertible Bond: Option Adjusted Spread model
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Abukar M Ali - Apr 2003
free download (10KB)
more details |
| Euro-Future Strip Hedge |
Abukar M Ali - Apr 2003
free download (43KB)
more details |
