There has been an addition to the spreadsheet, explained in the post: 

Simplified Linear Interpolation of Treasury Rates

Back in the day, when I was building a pricing model for mortgages that would be sold to FNMA, I ran into a problem with their pricing tables. The table below shows the problem. The X column is the dollar price the agency would pay, at various yield levels (column y). Since we were underwriting new mortgages, we needed the yield for a par price (100), but it was not on the table.


Since we were offering over a dozen or more different mortgages, we had a dozen or more tables to find the par price each day to set the days mortgage yields.

I built the formula with the option of finding the interpolated value, if the X column is ascending or descending:



Of course the x value need not be 100.

Nowadays, the agency interpolates the par price and posts it on the table, but it may come in handy for other  interpolations.


Look for “Interpolate 



Don Pistulka
Don Pistulka

Retired Credit Union CFO - Finance
Background: over 40 years in investments, asset/Liability management, banking, securities trader.
Worked for: California Credit Union, WesCorp, CalFed S&L, Crocker Bank, Carroll McEntee, Federal Home Loan Bank Board (D.C.), Western Asset Management, Security Pacific National Bank.

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