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Rates and Rates Tools

Recommended: the 32 bit version of Microsoft Office 2010.

 

 

 

 

 

 

 

Download Rates - Last Updated: Feb-08-2016

Here you can download curve-data.zip. This zip file holds the Excel workbook curve-data.xlsm. This workbook contains many types of euro curves on a daily basis starting at 31/12/2004. To download: click on the blue box at the right.

 

Table of contents:

EONIA Rates Up To 1Yr - Converted to 30/360 Convention - Mid                     

Interbank Rates Up To 1Yr - Converted to 30/360 Convention - Mid                

Swap Rates - 6 Month Euribor Float Leg - Mid                    

Swap Rates - 3 Month Euribor Float Leg - Mid                    

Swap Rates - EONIA Float Leg - Mid               

Zero Coupon Rates - Derived From Swap vs 6M Euribor - Mid                

Zero Coupon Rates - Derived From Swap vs 3M Euribor - Mid                

Zero Coupon Rates - Derived From Swap vs EONIA - Mid             

Zero Coupon Rates - DNB NFTK1 - Bid - Coincident            

Zero Coupon Rates - DNB NFTK2 - UFR - Coincident - Bid            

Zero Coupon Rates - DNB NFTK2 - UFR - 3 Month Average - Bid            

Zero Coupon Rates - DNB NFTK3 - Real - UFR Inflation & Risk Premium - Bid            

Zero Coupon Rates - DNB NFTK3 - Nominal - UFR Version 2 - Bid                   

Zero Coupon Rates - UFR Smith Wilson 4.2% 20-30 - Mid            

Zero Coupon Rates - UFR Smith Wilson 4.2% 20-60 - Mid            

Zero Coupon Inflation Rates - Derived From Inflation Swap Curve - Mid                    

Swap Rate ATM Implied Log Volatilities                    

Swap Rate ATM Implied Log Volatilities Grid             

Inflation Indices

DNB PAR to Zero Conversion (NFTK1)

This tool converts the par swap curve to DNB nftk zero coupon rates using the official DNB nftk method. This enables you to create the DNB nftk zero coupon curve yourself before DNB publishes or to create a history of daily DNB zero coupon nftk curves. Mind to only use the generic swap bid rates for the maturities:  1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 12, 15, 20, 25, 30, 40, 50.  

You can download the Ad Inn (.xla) and the Excel workbook (.xls). The Ad Inn makes the function: vs_partospot_dnb available in all your workbooks. The workbook contains the function and an example how to use it. You can view & edit the VB code because it is not password protected.   If you use Bloomberg to retrieve swap rates please check your contributor preferences for swaps and swap curves set the pricing source to the London composite. (CMPL)

PAR to Zero Conversion – Bootstrapping

This tool converts a par yield curve to a zero coupon yield curve. The convergence of par to zero rates is known as 'bootstrapping'. Mind that for all subsequent maturities one needs par rates.

You can download the Ad Inn (.xla) and the Excel workbook (.xls). The Ad Inn makes the function: vs_partospot available in all your workbooks. The workbook contains the function and an example how to use it. You can view & edit the VB code because it is not password protected.

The par rate equals the coupon at which a bond would trade at face value. The par yield curve is the yield curve that is mostly being referred to. Zero coupon rates are typically used to discount various cash flow patterns.

Zero to PAR Conversion – Reversed Bootstrapping

This tool converts a zero coupon yield curve to a par yield curve. The convergence of zero to par rates is known as 'reversed bootstrapping'. Mind that for all subsequent maturities one needs zero coupon rates.

You can download the Ad Inn (.xla) and the Excel workbook (.xls). The Ad Inn makes the function: vs_spottopar available in all your workbooks. The workbook contains the function and an example how to use it. You can view & edit the VB code because it is not password protected.

The par rate equals the coupon at which a bond would trade at face value. The par yield curve is the yield curve that is mostly being referred to. Zero coupon rates are typically used to discount various cash flow patterns.

European 30 360 Function

This tool gives you the year fraction based on european 30 360 convention. Give a start date and an end date and the function will return the correct yearfraction. Typically one can use this to calculate the size of coupon payments. Yearfrac * coupon * notional will result the coupon payment. The european 30 360 convention is used in many plain vanilla euro swap contract.

You can download the Ad Inn (.xla) and the Excel workbook (.xls). The Ad Inn makes the function: vs_european_30_360 available in all your workbooks. The workbook contains the function and an example how to use it. You can view & edit the VB code because it is not password protected.

Swaptions - The Black Scholes Model

To value swaptions one can use the Black Scholes Model as shown below. Some minor adjustments to the model are needed. The strike price equals the market value of the future fixed coupons at the swaption strike rate. So, when a receiver swaption has a strike coupon of 4% the strike price equals the market value of all the future  (4% * notional) fixed coupon payments. The asset price equals the market value of the future fixed coupons at the market forward rate. So, when the market forward rate is 3.5% the asset price equals the market value of all the future (3.5% * notional) coupon payments. Mind that a receiver swaption = put option and a payer swaption = call option. For swaptions one can use the simple model without dividends, European style with r = 0%.

The Black Scholes Model

The Black Scholes model is commonly used to value put and call options. There are many different versions of the model. Below you will first find the most basic version of the model. This version can only be used to value options on simple non dividend or coupon paying assets. Next a model version for dividend paying assets will be presented. For swaptions the simple version can be used.

Black-Scholes Option Pricing Model: European and American Option Style

European: European exercise terms dictate that the option may only be exercised on the day of expiration.

American: American exercise terms dictate that the option may be exercised during the full contract period.

 

Black-Scholes Option Pricing Model: Formulas for European Call Option

 

Model Variables

 

S:                   Asset Price

T:                   Option initial time to maturity in years

t:                    Time elapsed in years

C(S,t):          Value of european call option as a function of time and asset price

K:                   Strike price of the call option

R:                   Annualized, continuously compounded risk-free interest rate. Continuously Compounding: Assetst = Asstes0 * ert

σ:                   Annualized volatility of the asset's log price return. Log price return: Ln(Pt) - Ln(Pt-1)

N:                  Cumulative distribution function of the standard normal distribution

Black-Scholes Option Pricing Model: Put Call Parity & Formula for European Put Option

 

Put Call Parity: Call + Present Value Strike = Put + Asset

 

Holding a call option and the present value of the strike price in cash equals holding a put option and the asset.

This is true since both combinations at expiry will give you either the asset or an amount in cash equal to the strike price.

 

Model Formula

 

P(S,t):           Price of european put option as a function of time and asset price

Black-Scholes Option Pricing Model: the Greeks

The variable C in the table below represents the value of the option. So in the case of calls it is the value of the call option. In the case of puts C stands to the value of the put option.

 

delta:            The rate of change of option value with respect to changes in the underlying asset's price.

gamma:        Measures the rate of change in the delta with respect to changes in the underlying price.

vega:              The rate of change of option value with respect to changes in the volatility.

theta:           Measures the sensitivity of the value of the derivative to the passage of time.

rho:                The rate of change of option value with respect to changes in the risk free rate.

Example Calculation for Put and Call Option

Model Extension - Dividens

Model Variables

 

S0:                 Asset Price Spot

F:                   Asset Price Forward

T:                   Option time to maturity in years

q:                   Annualized, continuously compounded dividend yield.

C(S0,T):        Value of european call option as a function of time to maturity and asset spot price

P(S0,T):        Price of european put option as a function of time to maturity and asset spot price

K:                   Strike price of the call option

r:                   Annualized, continuously compounded risk-free interest rate.

σ:                   Annualized volatility of the asset's log price return.

N:                  Cumulative distribution function of the standard normal distribution

  

Remark: The variable T here is the remaining time to maturity. Mind that in the standard version of the model - as displayed above - T is the

initial time to maturity. The dividends are assumed to be continuous.

Model Formula: