Please click on any of the links below to use our Microsoft**®** Excel spreadsheets for your own calculations. There is no password protection. Please e-mail us if you are looking for something that is not here.

You may use the spreadsheets:

- by inputting your data directly online or

- by saving the spreadsheet to your own computer, or

- by copying and pasting to your own computer
*(in which case you might wish to use the '*.**keep source column widths**' option in Excel)

**Interest rates, discount factors, PV, NPV, IRR**

- Simple conversion between different year bases (e.g. 'money-market basis' to 'bond basis')
- Given an interest rate on a particular year basis, what is the equivalent rate on a different year basis?
- Interest amount and total future value
- What is the interest amount and total accumulated at the end of a period (using exact dates and a 'normal' interest rate)?
- What is the interest amount and total accumulated at the end of a period (using a given number of days and a 'normal' interest rate)?
- What is the interest amount and total accumulated at the end of a period (using a given number of years and a 'normal' interest rate)?
- What is the interest amount and total accumulated at the end of a period (using exact dates and a continuously compounded interest rate)?
- What is the interest amount and total accumulated at the end of a period (using a given number of days and a continuously compounded interest rate)?
- What is the interest amount and total accumulated at the end of a period (using a given number of years and a continuously compounded interest rate)?
- Nominal interest rates with different year basis, different compounding frequencies, effective rates, and continuously compounded rates
- Given a quoted nominal interest rate, what are the rate quoted on a different year basis, the equivalent effective rate and the continuously compounded rate?
- Given a quoted nominal interest rate, what is the equivalent interest rate with a different compounding frequency?

- Given a continuously compounded interest rate, what would be the equivalent quoted nominal rate for a given number of days and the equivalent effective rate?
- Given an effective interest rate, what would be the equivalent quoted rate for a given number of days and the continuously compounded rate?
- Strip' calculation (compounding a series of consecutive short-term interest rates)
- What is the interest rate for a longer period (up to one year), calculated from consecutive shorter periods compounded together?
- PV (present value) and discount factor
- What is the PV of a future cashflow and the discount factor (using exact dates and a 'normal' interest rate)?
- What is the PV of a future cashflow and the discount factor (using a given number of days and a 'normal' interest rate)?
- What is the PV of a future cashflow and the discount factor (using a given number of years and a 'normal' interest rate)?
- What is the PV of a future cashflow and the discount factor (using exact dates and a continuously compounded interest rate)?
- What is the PV of a future cashflow and the discount factor (using a given number of days and a continuously compounded interest rate)?
- What is the PV of a future cashflow and the discount factor (using a given number of years and a continuously compounded interest rate)?
- NPV and IRR
- Calculate the NPV or IRR of irregular cashflows
- Time-weighted rate of return
- What is the time-weighted rate of return of a fund?

**Annuity**

- Term or perpetual, variable number of periods per year, payments at start or end of each period, with or without growth
- What is the initial cost, given the payment stream?
- What is the payment stream, given the initial cost?

**Interpolation and extrapolation**

- Linear, and logarithmic, interpolation and extrapolation
- Given the prices or rates on two dates, what is the price or rate on a different date?

**Statistics**

- Arithmetic/geometric mean, median, mode, sample/estimated polpulation standard deviation and variance
- Correlation coefficient, covariance
- Confidence levels assuming a normal probability distribution
- What is the greatest outcome (and its Z-score) to satisfy a given confidence level?
- What is the probability that any outcome is greater than a given level, and what is that outcome's Z-score?

**Money-market instruments**

- What are the maturity proceeds and current value of a CD?
- If I buy a CD and then sell it later, what yield do I earn from purchase to sale?
- If I buy a CD, at what yield must I sell it later, in order to earn a given yield between purchase and sale?

- What is the current value of the paper?
- If I buy the paper and then sell it later, what yield do I earn between purchase and sale?
- If I buy the paper, at what yield must I sell it later, in order to earn a given yield between purchase and sale?

- What is the current value of the paper?
- If I buy the paper and then sell it later, what yield do I earn between purchase and sale?
- If I buy the paper, at what discount rate must I sell it later, in order to earn a given yield between purchase and sale?
- For a given discount rate quoted for the paper, what is the equivalent true yield and vice versa?

**FX calculations:**

- FX outrights, swaps and reciprocal rates
- What are the outrights (before spot and after spot)?
- What is the swap from today or tomorrow until after spot?
- What is the forward-forward swap?
- What are the reciprocal rates for spot, outrights and swaps (reversing the base and counter currencies)?
- Cross-rates: spot, swap and forward outright after spot
- What are the cross-rate spot, swap and outright (after spot)?
- Cross-rates: spot, swap and forward outright before spot
- What are the cross-rate spot, swap and outright (before spot)?
- Theoretical FX swap and outright
- What are the theoretical FX swap and outright, derived from money-market interest rates?

- Covered interest arbitrage
- What interest rate can I achieve synthetically, by borrowing or lending a different currency, swapped into my currency of choice?

**Short-term forward-forward interest rates, FRAs**

- Theoretical forward-forward interest rate
- What is the theoretical forward-forward interst rate calculated from current cash rates up to one year?
- Settlement amount for a FRA transaction

**Bootstrapping, par yields, long-term forward-forward yields**

- Bootstrapping from par yields

- Given a series of par yields, what are the corresponding zero-coupon yields, discount factors, and forward-forward yields?
- Bootstrapping from bond prices and coupons

- Given a series of non-par bond prices and coupons, what are the corresponding zero-coupon yields, discount factors, and forward-forward yields?
- Par yields derived from zero-coupon yields
- Given a series of zero-coupon yields, what are the corresponding par yields, discount factors, and forward-forward yields?
- Par yields derived from discount factors
- Given a series of discount factors, what are the corresponding par yields, and forward-forward yields?

**Bonds**

- Day/year calculations for different conventions
- What is the day/year fraction for the period between two given dates, under different conventions?
- Accrued coupon, given bond details
- Given a bond's details, what is its accrued coupon and dirty price?
- Price, duration & convexity, given yield, for a straightforward bond
- Given a bond's yield to maturity, what are its clean price, accrued coupon, dirty price, duration, modified duration and convexity?
- Price, duration & convexity, given yield, for a perpetual bond
- Given a bond's yield to maturity, what are its clean price, accrued coupon, dirty price, duration, modified duration and convexity?
- Yield, duration & convexity, given price, for a straightforward bond
- Given a bond's clean price, what are its yield to maturity (ytm), simple ytm, current yield, duration, modified duration and convexity?
- Yield, duration & convexity, given price, for a perpetual bond
- Given a bond's clean price, what are its yield to maturity (ytm), simple ytm, current yield, duration, modified duration and convexity?
- Using duration and convexity to approximate bond price changes
- What is the change in a security's value for a given change in yield, given its modified duration (and convexity, if known)?
- Hedging a bond position with a different bond, or bond futures, using modified duration
- To hedge a bond position or portfolio, what face value of another given bond must I use, or how many bond futures contracts, based on modified duration?

**Repo and buy/sell-back**

- Repo and buy/sell-back
- What are the start and end cashflows in a classic repo?
- What are the start and end cashflows, and what is the forward clean price, in a buy/sell-back?

**Options**

- Black & Scholes put and call premium values and Greeks for a non-dividend-paying asset
- What are the premium values? What are the Greeks
- Black & Scholes put and call premium values and Greeks for a dividend-paying asset
- What are an option's put and call premium values and Greeks, using the Black & Scholes model?
- Black & Scholes put and call premium values and Greeks for FX
- What are an option's put and call premium values and Greeks, using the Black & Scholes model?
- Implied volatility
- What is an option's implied volatility, given its premium value (and assuming the Black & Scholes model)?
- Historic volatility
- What is the annual historic volatility of a series of prices or rates?