c*********8
发帖数: 608 | 1 现在有个30年的LIBOR curve, 网上有什么现成的程序能把它转成monthly spot rate?
多谢帮助！
LIBOR/Swap
1 Month 0.256%
3 Month 0.290%
6 Month 0.463%
1 Year 0.778%
2 Year 0.605%
3 Year 0.872%
4 Year 1.190%
5 Year 1.517%
6 Year 1.816%
7 Year 2.064%
8 Year 2.265%
9 Year 2.435%
10 Year 2.576%
15 Year 3.019%
20 Year 3.215%
25 Year
30 Year 3.348% |
W*******d
发帖数: 63 | 2 excel
?
【在 c*********8 的大作中提到】
: 现在有个30年的LIBOR curve, 网上有什么现成的程序能把它转成monthly spot rate?
: 多谢帮助！
: LIBOR/Swap
: 1 Month 0.256%
: 3 Month 0.290%
: 6 Month 0.463%
: 1 Year 0.778%
: 2 Year 0.605%
: 3 Year 0.872%
: 4 Year 1.190%
|
c*********8
发帖数: 608 | 3 因为要批量处理数据,而且要算1到30年的monthly spot rates,在excel里做工作量有些
大吧? |
J******d
发帖数: 506 | 4 你说的monthly spot rate是啥意思？
?
【在 c*********8 的大作中提到】
: 现在有个30年的LIBOR curve, 网上有什么现成的程序能把它转成monthly spot rate?
: 多谢帮助！
: LIBOR/Swap
: 1 Month 0.256%
: 3 Month 0.290%
: 6 Month 0.463%
: 1 Year 0.778%
: 2 Year 0.605%
: 3 Year 0.872%
: 4 Year 1.190%
|
m*********g
发帖数: 646 | 5 I really think this is your homework project.......
Coz I am pretty sure I did the homework before.
And your class in this semester will cover interest rate models, this is
just the beginning.
And for your hint, you may need to bootstrap the implied ZCB prices based on
LIBOR first, and then use the implied ZCB to get the instantaneous forward
rate.
And you may need the splines to interpolate the ZCB (or the LIBOR) to get a
smooth curve. |
c*********8
发帖数: 608 | 6 好吧，这是project开头的一部分，本来想快速解决，那就可以主攻主要问题。 |
s******e
发帖数: 1751 | 7 wasn't this a 20 min (at most) excel project? does it require vba? |
w******i
发帖数: 503 | |
z****i
发帖数: 406 | 9 even excel itself is sufficient I guess. :)
I see people doing both log-linear and cubic-spline interpolations in excel
cells, amazed.
【在 w******i 的大作中提到】
: VBA is sufficient.
|
