Key points :
- Calendar with business holidays for the major financial centers.
- Bond analytics: yield to maturity, duration, accrued interest; valuation functions and sensitivity measures; bond cash flows; forward price and repo rate.
- Derivatives: valuation functions and sensitivity measures european and american options; exotic options.
- Discount curve construction based on money market rates,short term futures and swap rates.
- Interest rates derivatives: valuation and sensitivity for swaps, swaptions, caps & floors.
- Credit derivatives: valuation and sensitivity for CDS.
- Portfolio analytics: volatility, expected return, tracking error, value at risk, portfolio optimization on an absolute basis or relative to a benchmark.
- User friendliness: meaningful function and parameter names; user's manual, numerous examples and applications.
- Excel add-in and examples to download, as well as VBA source code.