Forward Rates Part 3: Spot Rates

A newer version with four bootstrap methods can be found at: A Forth Way To Bootstrap Spot Rates This method of calculating spot rates is referred to as the bootstrapping method. Each spot rate (or zero coupon) along the Treasury yield curve needs the previous spot rates, in order to discount the current securities coupon payments. […]

Forward Rates Part 2: Forward Yield Table

In the last post, Forward Rates Part 1: Gap Analysis, we calculated the forward rate for a two year fixed rate investment, five years from now. Here is a review of the math: Why is everything multiplied by 2? That’s because we are assuming semiannual compounding. First we calculate the value of $1 in 5 years at […]

Forward Rates Part 1: GAP Analysis

  Gap Analysis, sometimes referred to as breakeven analysis, will get us 3/4 of the way to understanding forward rates. There are three different interest rates involved with gap analysis: Term Rate: Security with the longest term to maturity. Head Rate: A shorter maturity alternative to the Term Rate. Tail Rate: A rate that starts at the end of […]

Even Cash Flow Calculator

This worksheet just might make calculating things like loan payments, the amount that could be borrowed, the interest rate, etc. a little easier than the HP-12C calculator, with Reverse Polish Notation, you have been holding onto for the last 30 years. Their are five inputs to the calculator: Rate Cash Flow (Payment) Number of Cash Flows Present […]

Valuing Servicing With CPR

Long before I wrote user defined functions for valuing servicing on a pool of mortgages, I developed amortization tables to understand the cash flows and proof my VBA. The amortization schedule provided below is not the typical amortization. It has a number of uses besides explaining the math of constant prepayment rates (CPR) and servicing. For example, if you […]

Total the amount for each date, on multiple sheets

I ran into this problem in accounting. A workbook was being generated by the general ledger that created separate sheets for each ATM, with dates and deposits.  There were a total of 19 ATMs. Individual dates for each sheet were in column A and amounts in column C. The dates did not necessarily show up in the same […]