Cash & Duration Neutral Butterfly (aka Duration-Hedged Barbell)
This Excel spreadsheet shows how to set up a cash & duration neutral butterfly swap. The nomenclature I use to describe the three securities involved...
Excel@CFO
Excel Solutions and Free Spreadsheets for the Financial Analyst & CFO
Latest Posts
Commercial Loan Amortizations
I was playing with some assumptions for commercial loan amortizations and came up with the this Excel spreadsheet. For example: Assume the borrower wants to...
Annual CPR Vectors
Just what everyone has been waiting for, another CPR vector analysis. I have at least two other CPR vector posts. This one allows for your...
Simple (SMA) and Exponential (EMA) Moving Average
Technical trading is a little out of my wheelhouse, but when I came across the exponential moving average (EMA), I thought it was interesting enough...
Cherry-Picking a Loan Portfolio, Revisited
Readers might remember my original post and spreadsheet http://pistulka.com/Other/?p=1473 in August 2015 called Cherry-Picking a Loan Portfolio. That spreadsheet relied upon going through a loan portfolio...
THE MIRR EXCEL FORMULA WITH DATES (XMIRR)
Most of my 50 year career was in fixed income investments (Bonds, MBS, etc.). We did not use MIRR, but we did have concepts that...
Interest Penalty for Overtime Changes in State Law
Disclaimer: I am not an lawyer, and offer this spreadsheet free with no guarantees either written or implied, as to the appropriate use of this...
CPR Prepayment Vectors
Note: I have updated this post and spreadsheet with another way to create your own CPR vectors: Annual CPR Vectors Previously, I showed a way...
HEL (Home Equity Prepayment)
HEL (Home Equity Prepayment) is similar to the PSA prepayment model in that it starts a 2% CPR in the first month and increasing at...
MHP (Prepayment Rate for Manufactured-Housing)
I have to admit that I have never purchased or sold manufactured housing loan pools, but am aware that those that do own or trade...
Change to “Calculate Historic CPR and PSA”
In the previous spreadsheet used to calculate historic CPR and PSA, I used a separate sheet in the workbook to run an iteration on an...
CMO-Inverse Interest Only (Inverse IO)
A reader asked if I had an example of a CMO Inverse IO, and I did not. Although I have not had access to a...
CMO -IO/PO PAIR
This is my fourth free CMO Excel spreadsheet. This post is going to be very short. You can find a lot of information online, so...
CMO – PAC
I have posted two other examples (and Excel workbooks) of CMO structures in the past. Floater & Inverse-Floater CMO and Sequential Pay CMO. Now, we are...
Future Value Bank Interest in Leap Years
Not all banks treat leap years the same, when calculating interest on deposits. Many financial institutions use basically the same method (or a close variation)...