Excel@CFO

I have not posted any new Excel workbooks for some time now, mostly because I have been retired for eight years and I have run out of ideas. There are some dynamic array functions contained in the workbook that will require the latest version of Excel.  The U. S. Treasury has a post called “Daily Treasury […]

How many realistic payment schedules with dates can you think of? I came up with 12. Now, regardless of the payment cycle, how many compound interest methods can be applied to the 12 payment cycles? I came up with 15. This amortization schedule therefore has 180 (12 x 15) combinations of payment and compounding methods. […]

I have been retired for several year now, but back in the day, we determined the interest rates we charged on consumer loans by using tiered FICO scores. The FICO scores were tiered, so that for example, everyone between a score 620 and 674 got the same rate on their loan. The borrower with a […]

Excel’s functions for present and future value of cash flows with dates, will not work with the present and future  value of an amortizing loan with dates based on an actual/360 basis. A few years back, a young man contacted be about calculating the present value of an investment made at his firm. He had […]

This is not meant to be an academic work on the predictive abilities of forward Treasury yields. See the expectations hypothesis. Rather, it is a spreadsheet that, given a date in the past, calculates forward rates and then compares the forward yield curve to the actual yield curve on that future date. Thanks to the […]

In July of 2015, I posted an animated yield curve chart:http://pistulka.com/Other/?p=1691. I have hopefully improved the chart and brought the yields curves up-to-date. You can also add daily curves if you like. The Excel file contains VBA, so some firms might not allow downloads. The yield curves are on a monthly basis from 1962-1989 and […]

The reason this is version 4.0 is that prior to this post and spreadsheet, I had three other posts on defeasance. With the addition of using Treasury spot rates, rather than posted yields on current coupons or Treasury strips, I hope to increase the accuracy of the calculations. If you are involved in commercial lending […]

I have posted spreadsheets on forward yield curves in the past, but this one is less cumbersome in that the spot rate calculations are simplified, compared to the previous spreadsheets. In addition, I added a forward math sheet to explain the calculations. Like my other spreadsheets that require spot rates, I start with a source […]

Note: I found an error in the spreadsheet and repaired it, so if you downloaded the spreadsheet before 3/21/19, download it again.   This post starts by entering the U.S Treasury Yield curve by copy/pasting the rates from the Treasury web site. The yields are then interpolated in order to calculate spot rates using the […]

This is a second in a series of pricing methods, other than the normal present value of cash flows using one discount rate (yield). In the last post we considered pricing MBS, or any amortizing loan, using the U.S. Treasury spot rate Z curve. This post takes the previous post one step further and uses […]

The traditional method for calculating the price on mortgage backed securities (MBS) is to calculate the present value of each cash flow received from the security by one discount rate (market yield). Another method would be to use more than one discount rate, the Treasury spot rate curve, plus an add-on spread referred to as  […]

A reader asked for help in creating the spot rates for the Federal Home Loan Banks market reference curve, used for amortizing advances. I have posted four ways to calculate spot rates for U.S. Treasury securities (A Forth Way To Bootstrap Spot Rates), but this is the first non-uses the same basic calculations, but uses […]

You can tell I am running out of ideas. This is my second post in a row on Excel perpetual calendars. This one is for remembering all those birthdays in the family:     Download Birthdays.xlsx

So I was going through some old Excel files and came across a couple of calendars someone might find useful. When I was working, we were paid bi-weekly. In other words, every two weeks. There were three days I was concerned with: The end of the pay period (there was a five day delay between […]

A reader asked me if Average Life VBA Function For MBS could be changed from using CPR as the prepayment assumption to PSA. You can download the PSA version here: http://pistulka.com/Excel_Shared/vba_avlife_PSA.xlsm