## Monte Carlo Yield Curve Forecasting

This is a stochastic tool that uses forecasts of what the Treasury yield curve will look like in six months, and generates holding period returns (total returns) at various points...

Excel Solutions and Free Spreadsheets for the Financial Analyst & CFO

Latest Posts

## Monte Carlo Yield Curve Forecasting

This is a stochastic tool that uses forecasts of what the Treasury yield curve will look like in six months, and generates holding period returns (total returns) at various points...## 24 Time Value of Money Calculations in One Excel Workbook

I thought I would consolidate some of the past posts and spreadsheets into one workbook. It could come in handy when you need some quick...## 3 -Ways to Bootstrap Spot Rates for the Treasury Yield Curve

Note: I have added a fourth method of calculating spot rates for the Treasury yield curve. The workbook is the same. For a brief explanation...## 4-Factor Prepayment Model

In previous posts, I have covered CPR, PSA, and a spreadsheet that allows for any prepayment vector you might want to create. There have been...## Floater & Inverse-Floater CMO

This is a follow-up to my last post, Sequential Pay CMO. The purpose of this example spreadsheet is to show a simple example of how...## Sequential Pay CMO

A reader ask me if I had published a sequential pay CMO example. I had not. I did start a spreadsheet at one time, but never completed it. I...## Effective Duration, Convexity, and Convexity Adjustment For Loans

This is an update of a post and spreadsheet I wrote in Oct. of 2014 called: “Modified & Effective Duration, Plus Convexity of a Loan”. ...## Simplified Linear Interpolation of Treasury Rates

In August of 2014 I showed a spreadsheet for interpolating a yield, given a range of dollar prices. That post was call Interpolation. I thought...## Math for amortization rows with CPR, Servicing, CDR, & Loss Severity

First, let me say that this is my 100th post and spreadsheet. I started in August of last year. If this spreadsheet looks a lot like...## Math for amortization rows with CPR and Servicing

After you read this post, check out my updated post In my post called The Math Behind Excel’s CUMIPMT() & CUMPRINC() Functions I showed how...## Calculating Historical CPR

There is a newer post that replaces the amortization schedule to calculate historic PSA with a UDF: http://pistulka.com/Other/?p=2964 Back in December of 2014 I...## Certificate of Deposit Ladder Optimizer

There are all kinds of calculators you can find to “optimize” your rate of return by laddering certificates. Of course the term optimize is a...## Conforming the “Mega” MBS Formula to Street Conventions

See updated formula at: MBS Math Formula. Servicing, CPR, Payment Delay, Default Rate & Loss Severity http://pistulka.com/Other/?p=2384 This adjustment to the mega formula for mortgage-backed...## Chained Returns

Calculating the total rate of return on a chain of returns produces a time weighted rate of return. I covered this in my post “Time...## Rule of 78

If you normally sell your car before it is paid off, you are going to want to stay away from lenders that still use the Rule...