Yield curve modelling

[Market41010atmarket]

Does anyone have or know where i could get an excel yield curve model

 

[A Dashing Blade]

Does anyone have or know where i could get an excel yield curve model

A bit more info/background required
You simply want tio plot the points on a chart? - trivial but use a scatter graph
Or do you want to feed tenors and rates into a function to create a curve object which can then be used to obtain (say) asset swap spread for a bond?

+ you want Govt Benchmark, swap or zero curve (or something else) + whaich currencies?

 

[Market41010atmarket]

Hello, thanks for your eply, I wan to feed off my bloomie into excel, im looking at the relationship between rates and futures short to long end. Euribor , Short sterling, Eurodollars. Also looking at 2-5-10 yrs.

 

[A Dashing Blade]

Hello, thanks for your eply, I wan to feed off my bloomie into excel, im looking at the relationship between rates and futures short to long end. Euribor , Short sterling, Eurodollars. Also looking at 2-5-10 yrs.

kk

Rule number 1 - If you can program, use the bloomberg API to make asynchronous requests (type "WAPI" <GO>) for documentation, it's certainly feasible in vba. The blp() functions bring in data irrespective of what's happenibng elsewhere on the spreaddy ie can interrupt other stuff going on

2) Get a decent book on curve building, it's an art rather than a science.

3) Make sure you've worked out your daycounts correctly including settlement lag as, at the short end, one day out can have a disproportionate effect on the annualised rate.

You may well find the need to writev your own excel functions as Excel's inbuild DayCount() etc (whatever) will prolly have incorrect holiday calanders ans, iirc doesn't do 30/360E. Tbh, if you've a couple of grand speare, check out MRMB Soultions (?, something like that anyway) for the best value and arguably most accurate Exel AddIn's

Note that if you want someone to come in and do it for you, you're realistically talking several hundred quid a day + VAT

 

[Market41010atmarket]

Thanks for your help. I would probably rather build it myself, so a heads up on a decent book would be good news. However if this fails, which is highly possible I would probably seek professional help!! So any contacts would be good news.
Thanks