In order to illustrate some of the more practical points presented in this book, we offer the reader two spreadsheets containing a considerable amount of VBA code that the reader is free to use, copy, or modify. Additional material of potential interest to the reader will be added to the web site in the future. The choice of implementation is given by the fact that most people are familiar with VBA. In order to show the points made, all languages are more or less equivalent and, most important, VBA is available to anyone with an Excel license and does not need compiling. To access the spreadsheets, please visit wiley.com/go/treasuryfinance and enter the following password on the sign-in page: treasury789.

THE IMPLEMENTATION OF THE BOOTSTRAPPING OF AN INTEREST RATE CURVE

The spreadsheet “TreasuryFinancelnterestRateCurve.xlsm” contains the implementation of the bootstrapping of an interest rate curve as shown in Section 2.5. As mentioned above, the code is written in VBA so that it can be used in any Excel session. It is probably not the most efficient way of bootstrapping (ideally one would have built an object handle instead of bootstrapping at each interpolation request), but it is extremely easy to understand and to modify if needed.

The spreadsheet is fairly self-explanatory and already contains some realistic input values. We need to stress some constraints needed for the function to work:

┠The first column of the input range must contain the type code of the instrument used (D for deposit, F for FRA, and S for swap)

┠The second column must contain the maturity code of the instrument (for FRAs it is the beginning): it is given as a number and a letter code (D for day, W for week, M for month, and Y for year)

┠The third column must contain the length code for FRAs only

┠The fourth column must contain the main quote value (it needs to be input in absolute value, that is, not as percentage or basis points)

┠The fifth column must contain the (optional) cross currency basis (this value will be used only for instruments with type code S)

┠The first market data entry must be a deposit

┠Forward rate agreements need to appear between deposits and swap rates

┠Forward rate agreements need to be quoted with the code of the from date in the second column and the code of the length of the instruments in the third column.

┠The user should select 1 for exponential interpolation and 0 for linear

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