ISDA CDS – interest rate curve 3 – Excel implementation — Rotch VBA


Before delving into pure VBA I think it’s helpful to set out a problem in Excel, if only for a specific example. It can really help get a broader idea of how the model fits together. The discount factors for the swap nodes require root-finding which means some sort of iterative calculation. This isn’t particularly […]

via ISDA CDS – interest rate curve 3 – Excel implementation — Rotch VBA

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