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For cross-currency basis spread curves, there are usually no quotes available below 1Y time point (for 3M and 6M) and there might be a need ...

In my opinion, creating reports directly from Excel workbook is a bit old-fashioned way to handle the case. For any official reporting (mea...

Let us face the fact : there is no multi-threading possibilities for VBA. However, if you have any VBA program in your Excel workbook, creat...

In my previous post on generating paths for different types of one-factor processes, I was writing all processed paths sequentially into se...

In order to value fixed income derivatives cash flows, relevant forward rates and discount factors have to be defined from bootstrapped zero...

This time I wanted to share some quick technical information about how to write or read dynamic matrix between Excel and C# program with Exc...

OIS discounting has been hot topic for the last few years, since most of the collateralized OTC swaps are valued by this methodology. In th...