From the course: Applied Fixed Income

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Excel example: Duration and convexity of a zero-coupon bond

Excel example: Duration and convexity of a zero-coupon bond

From the course: Applied Fixed Income

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Excel example: Duration and convexity of a zero-coupon bond

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- [Instructor] Next, I want to go through an exercise that I always enjoy giving new joiners to the desk all the time. And that is to replicate the data that we can see from a Bloomberg screen by using Excel. Now, the reason that everyone depends on Bloomberg in the markets is that, as I mentioned earlier, it's a third party platform and it has market accepted pricing models and calculators so that when market participants look at a particular bond, they have a common way to price the bond and look at other statistics such as risk measures, settlement amounts, et cetera. And what we normally do is I would assign a new joiner to create a spreadsheet to actually replicate the data output from Bloomberg. But thanks to our most excellent FA, financial analyst, Sheldon D'Souza, he's actually created this spreadsheet and it's available for you to download. So I'm going to walk through it now with you guys and then we can do an example and look at a zero coupon bond and prove that the…

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