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["Interest Rate Derivatives Explained II (Illustrations)"]
[]
[]
[]
["This sheet does only serve for illustration purposes! It illustrates pricing for Swaps, CMS, CMS Floors, CMS Caps, Simple CMS Spread and Quanto Swaps",null,null,null,null,null,null,null,null,null,"The code comes with BSD License"]
[null,null,null,null,null,null,null,null,null,null,"'Copyright 2017 Dr. Joerg Kienitz"]
["This illustration and any accompanying material are being provided solely for information and general illustrative"]
["purposes. The author will not be responsible for the consequences of reliance upon any information contained in or",null,null,null,null,null,null,null,null,null,"'Redistribution and use in source and binary forms, with or without modification,"]
["derived from the presentation or for any omission of information therefrom and hereby excludes all liability for loss",null,null,null,null,null,null,null,null,null,"'are permitted provided that the following conditions are met:"]
["or damage (including, without limitation, direct, indirect, foreseeable, or consequential loss or damage and"]
["including loss or profit and even if advised of the possibility of such damages or if such damages were foreseeable)",null,null,null,null,null,null,null,null,null,"'1. Redistributions of source code must retain the above copyright notice,"]
["that may be incurred or su\u000bered by any person in connection with the presentation, including (without limitation)",null,null,null,null,null,null,null,null,null,"'this list of conditions and the following disclaimer."]
["for the consequences of reliance upon any results derived therefrom or any error or omission whether negligent or"]
["not. No representation or warranty is made or given by the author that the presentation or any content thereof will",null,null,null,null,null,null,null,null,null,"'2. Redistributions in binary form must reproduce the above copyright notice,"]
["be error free, updated, complete or that inaccuracies, errors or defects will be corrected.",null,null,null,null,null,null,null,null,null,"'this list of conditions and the following disclaimer in the documentation"]
["The views are solely that of the author.",null,null,null,null,null,null,null,null,null,"'and/or other materials provided with the distribution."]
["The presentation may not be reproduced in whole or part or delivered to any other person without prior permission"]
["of the author. It is accompanying material for the book Interest Rate Derivatives Explained II!",null,null,null,null,null,null,null,null,null,"'3. Neither the name of the copyright holder nor the names of its contributors"]
[null,null,null,null,null,null,null,null,null,null,"'may be used to endorse or promote products derived from this software without"]
["For comments, hints, bugs or suggestions, please,",null,null,null,null,null,null,null,null,null,"'specific prior written permission."]
["Contact:"]
["joerg.kienitz@gmx.de",null,null,null,null,null,null,null,null,null,"'THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS"]
[null,null,null,null,null,null,null,null,null,null,"'\"AS IS\" AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO,"]
[null,null,null,null,null,null,null,null,null,null,"'THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE"]
[null,null,null,null,null,null,null,null,null,null,"'ARE DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT HOLDER OR CONTRIBUTORS BE LIABLE"]
[null,null,null,null,null,null,null,null,null,null,"'FOR ANY DIRECT, INDIRECT, INCIDENTAL, SPECIAL, EXEMPLARY, OR CONSEQUENTIAL DAMAGES"]
[null,null,null,null,null,null,null,null,null,null,"'(INCLUDING, BUT NOT LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES;"]
[null,null,null,null,null,null,null,null,null,null,"'LOSS OF USE, DATA, OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON"]
[null,null,null,null,null,null,null,null,null,null,"'ANY THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY,"]
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[null,null,null,null,null,null,null,null,null,null,"'THIS SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE."]

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[]
[null,null,null,null,null,null,null,null,null,null,null,"Example CMS Pricing",null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,"Example Swap Pricing"]
[]
[]
[null,"Generic Information",null,null,"Overall Specification",null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,"Generic Information"]
[]
[null,"Date",null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,"Date"]
[null,"Today",{"$f":"TODAY()","v":"2016-11-02"},null,null,null,null,null,null,null,null,null,null,"Convexity Adj","CMS","CMS","CMS","CMS","CMS","CMS","Running",null,"Today",{"$f":"TODAY()","v":"2016-11-02"}]
[null,null,null,null,null,"CMS","CMS","CMS",null,"Swap","Start Date","Pay Date","Forward Swaps","Forward Swaps","Cap ATM","Cap ATM","Floor ATM","Floor ATM",{"$f":"\"Cap @ \"&CMSCap!K11","v":"Cap @ 0,06"},{"$f":"\"Floor @ \"&CMSFloor!C8","v":"Floor @ 0,045"},"PV",null,null,null,null,null,"Float Leg",null,null,null,null,null,null,null,null,null,null,null,null,"Fixed Leg"]
[null,"Swap Information",null,null,null,"Fixing Date","Start Date","Pay Date","Coverages","End Date","Discount Factor","Discount Factor","Rates","Rates","QT","PV","QT","PV","Rates","Rates","CMS Index",null,"Swap Information",null,null,"Fixing","Start","End","Coverage","DF Start nM","DF End nM","DF End OIS","Libor","m*Libor + spread","PV Libor","PV Libor",null,null,"Fixing","Start","End","Coverage","DF End","Fix","PV Fix","Spread","PV Spread"]
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[null,"Swap Tenor",10,null,1,{"$f":"EDATE(F11,$C$11)","v":"2017-11-04"},{"$f":"EOMONTH(F12,0)+1","v":"2017-12-01"},"2018-06-01",0.49863013698630138,"2027-11-04",{"$f":"DF_SheetFunction(T2R(Discount_Curve),G12,\"cubic\")","v":0.98621303039705754},{"$f":"DF_SheetFunction(T2R(Discount_Curve),H12,\"cubic\")","v":0.97967146357807322},2.9474433749884052E-2,{"$f":"M12-Q12+O12","v":2.9809394162194958E-2},{"$f":"CMSCapATM!HN12","v":3.2241406088967263E-3},{"$f":"CMSCapATM!HO12","v":1.5749724272221446E-3},{"$f":"CMSFloorATM!HN12","v":2.8891801965858187E-3},{"$f":"CMSFloorATM!HO12","v":1.4113463706708566E-3},{"$f":"CMSCap!HO12","v":1.8126324674629874E-10},{"$f":"CMSFloor!HO12","v":1.3776838706077515E-2},{"$f":"SUMPRODUCT($N$11:N12,$L$11:L12)","v":5.5681486081949741E-2},null,"Swap Tenor",10,{"$f":"Y11+1","v":2},{"$f":"EDATE(Z11,Libor_Period)","v":"2017-05-02"},{"$f":"IF(X16=1,EOMONTH(Z12+2,0)+1,Z12+2)","v":"2017-05-04"},{"$f":"EDATE(AA12,Libor_Period)","v":"2017-11-04"},{"$f":"YEARFRAC(AA12,AB12,2)","v":0.51111111111111107},{"$f":"DF_SheetFunction(T2R(EUR_Fwd),AA12,\"cubic\")","v":0.99467106207346678},{"$f":"DF_SheetFunction(T2R(EUR_Fwd),AB12,\"cubic\")","v":0.98866109244968714},{"$f":"DF_SheetFunction(T2R(Discount_Curve),AB12,\"cubic\")","v":0.98723203899811196},{"$f":"(AD12/AE12-1)/AC12","v":1.1893495465977058E-2},2.5493495465977057E-2,6.0012825540644577E-3,{"$f":"AH12*AC12*AF12","v":1.2863642149589112E-2},null,{"$f":"AL11+1","v":2},{"$f":"EDATE(AM11,Swap_Period)","v":"2017-11-02"},{"$f":"IF($X$16=1,EOMONTH(AM12+2,0)+1,AM12+2)","v":"2017-11-04"},"2018-11-04",{"$f":"YEARFRAC(AN12,AO12,1)","v":1},{"$f":"DF_SheetFunction(T2R(Discount_Curve),AO12,\"cubic\")","v":0.97303328584529081},2.6200000000000001E-2,2.549347208914662E-2]
[null,null,null,null,2,"2018-11-04","2018-12-01","2019-06-01",0.49863013698630138,"2028-11-04",{"$f":"DF_SheetFunction(T2R(Discount_Curve),G13,\"cubic\")","v":0.97192412951821516},{"$f":"DF_SheetFunction(T2R(Discount_Curve),H13,\"cubic\")","v":0.96460817267452281},3.2049696178131311E-2,{"$f":"M13-Q13+O13","v":3.2687881532166084E-2},{"$f":"CMSCapATM!HN13","v":4.3642953988800425E-3},{"$f":"CMSCapATM!HO13","v":2.0991506075891567E-3},{"$f":"CMSFloorATM!HN13","v":3.726110044845268E-3},{"$f":"CMSFloorATM!HO13","v":1.7921944895361995E-3},{"$f":"CMSCap!HO13","v":1.8645843380223295E-7},{"$f":"CMSFloor!HO13","v":1.1428891476658338E-2},{"$f":"SUMPRODUCT($N$11:N13,$L$11:L13)","v":8.7212483755293752E-2},null,"Libor Period",6,{"$f":"Y12+1","v":3},"2017-11-02",{"$f":"IF(X17=1,EOMONTH(Z13+2,0)+1,Z13+2)","v":"2017-11-04"},"2018-05-04",{"$f":"YEARFRAC(AA13,AB13,2)","v":0.50277777777777777},{"$f":"DF_SheetFunction(T2R(EUR_Fwd),AA13,\"cubic\")","v":0.98866109244968714},{"$f":"DF_SheetFunction(T2R(EUR_Fwd),AB13,\"cubic\")","v":0.98222714781794407},{"$f":"DF_SheetFunction(T2R(Discount_Curve),AB13,\"cubic\")","v":0.98079261922503502},{"$f":"(AD13/AE13-1)/AC13","v":1.3028346835115164E-2},2.6628346835115162E-2,6.4245479483384677E-3,{"$f":"AH13*AC13*AF13","v":1.3130989924683872E-2},null,{"$f":"AL12+1","v":3},"2018-11-02",{"$f":"IF($X$16=1,EOMONTH(AM13+2,0)+1,AM13+2)","v":"2018-11-04"},"2019-11-04",{"$f":"YEARFRAC(AN13,AO13,1)","v":1},{"$f":"DF_SheetFunction(T2R(Discount_Curve),AO13,\"cubic\")","v":0.95764075641235036},2.6200000000000001E-2,2.5090187818003581E-2]
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[null,null,null,null,null,null,null,"Start","Delay","Forward Swaps","CMS Cap",null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,"Under QTpay",null,"PV"]
[null,"Cash Settled Level Parameters",null,null,null,"Maturity","Coverages","Discount Factor","Discount Factor","Rates","Strike",null,"Strikes",null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,"Strikes",null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,"Strikes",null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,"Strikes"]
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{"sheet":"CMSFloorATM","index":3,"n_rows":21,"n_cols":223,"rows_kept":21,"cut":false,"hidden":false,"merged":[]}
[]
[null,null,null,null,null,null,null,null,"CMS Floor ATM"]
[]
[]
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[]
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[null,"Cash Settled Level Parameters",null,null,null,"Maturity","Coverages","Discount Factor","Discount Factor","Rates","Strike",null,"Strikes",null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,"Strikes",null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,"Strikes",null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,"Strikes"]
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[]
[null,null,null,null,null,null,null,null,null,null,null,"Example Simple CMS Spread Option Pricing"]
[]
[]
[null,"Generic Information",null,null,"Overall Specification"]
[]
[null,"Date"]
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[null,null,null,null,8,{"$f":"YEARFRAC(today,Overview!F19)","v":7.927777777777778},{"$f":"EOMONTH(Overview!F19,0)+1","v":"2024-12-01"},"2025-12-01",1,"2034-12-01",{"$f":"DF_SheetFunction(T2R(Discount_Curve),G19,\"cubic\")","v":0.82282708878188426},{"$f":"DF_SheetFunction(T2R(Discount_Curve),H19,\"cubic\")","v":0.79233782283108034},3.811902082303717E-2,3.9805527444254515E-2,0.4,0.15118642477013106,0.14696410853946223,4,0.02,9.716301633649423E-3,3.7349118238638651E-2]
[null,null,null,null,9,{"$f":"YEARFRAC(today,Overview!F20)","v":8.9277777777777771},{"$f":"EOMONTH(Overview!F20,0)+1","v":"2025-12-01"},"2026-12-01",1,"2035-12-01",{"$f":"DF_SheetFunction(T2R(Discount_Curve),G20,\"cubic\")","v":0.79233782283108034},{"$f":"DF_SheetFunction(T2R(Discount_Curve),H20,\"cubic\")","v":0.76252279285008995},3.9173637857232005E-2,3.9689080547401674E-2,0.4,0.14326593421962353,0.14165869044661378,4,0.02,9.3995013511127181E-3,3.6418414767339258E-2]
[null,null,null,null,10,{"$f":"YEARFRAC(today,Overview!F21)","v":9.9277777777777771},{"$f":"EOMONTH(Overview!F21,0)+1","v":"2026-12-01"},"2027-12-01",1,"2036-12-01",{"$f":"DF_SheetFunction(T2R(Discount_Curve),G21,\"cubic\")","v":0.76252279285008995},{"$f":"DF_SheetFunction(T2R(Discount_Curve),H21,\"cubic\")","v":0.73325613829806813},4.0014351021178021E-2,3.9331261538818149E-2,0.4,0.33266574931402143,0.23914411216777037,4,0.02,1.9126610849828782E-2,8.5229890748172887E-2]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[null,"German","Englisch"]
[null,"BRTEILJAHRE","YearFrac"]
[null,"EDATUM","EDATE"]

{"sheet":"QuantoSwap","index":7,"n_rows":49,"n_cols":31,"rows_kept":49,"cut":false,"hidden":false,"merged":[]}
[]
[null,null,null,null,null,null,null,null,null,null,null,"Example Quanto Swap Pricing"]
[]
[]
[null,"Generic Information"]
[]
[null,"Date"]
[null,"Today",{"$f":"TODAY()","v":"2016-11-02"}]
[null,null,null,null,null,"Float Leg",null,null,null,null,null,null,null,null,null,null,null,null,"Foreign Floating Leg"]
[null,"Swap Information",null,null,"Fixing","Start","End","Coverage","DF Start nM","DF End nM","DF End OIS","Libor","m*Libor + spread","PV Libor","PV Libor",null,null,"Fixing","Start","End","Coverage","DF Start nM","DF End nM","DF End OIS","Libor","m*Libor + spread","FX Vol","Vol FFwd","Correlation","PV Libor","PV Libor"]
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[null,null,null,null,null,null,null,null,null,null,null,"Example Swap Pricing"]
[]
[]
[null,"Generic Information"]
[]
[null,"Date"]
[null,"Today",{"$f":"TODAY()","v":"2016-11-02"}]
[null,null,null,null,null,"Float Leg",null,null,null,null,null,null,null,null,null,null,null,null,"Fixed Leg"]
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