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Last
updated:
April 21, 2000
Design & Content:
Csaba Horvath
| ZCalc - a zero coupon yield curve calculator | ||||||||||
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What is ZCalc? ZCalc
is an Excel Add-in*, calculates zero coupon yield curve from government
bond price data.
* Add-in is a program that extends the functionalities of Excel. top What does it do?The zero coupon yield curve can be used for
The calculation of that is not straightforward, a relatively complicated task must be done. Having up-to-date zero coupon yield curve data is useful when there is a group of people is interested in the on-line, most updated data of a zero coupon yield curve. This happens in treasuries, dealing rooms, etc. A researcher in most cases is interested in historical results,
but the professional version CAN do historical calculations as well.
That is, the engine runs through historical data: constructs the
relevant (historical) cash flow matrix, reproduces the prices from
older files, and stores the results in a database. Only one prerequisite
of that: the database of bonds must contain data (cash-flow, date
of issue/final redemption) about bonds that existed in the past,
in the relevant period. Optimization (estimation) methods built inBuilt-in cutting-the-edge yield curve modelling techniques!There are 4 estimation methods built in (also follow this link):
ScreenshotsRuns under Excel [screenshot]Menu and dialog-box driven, no programming needed [screenshot]Generates the following reports
top Input datafrom any source that can send or save data to a spreadsheet, or supports DDE, e.g. REUTERS, BLOOMBERG.top The speed of estimationThe optimization (calculation) and preparing the reports take only about 20-120 seconds, depending on the raw computing power of the computer. Here are some benchmark tests:
Results can be spread or printed on a local network automatically
within a few seconds. PlatformsThe program was written in Visual Basic for Applications, completely works its way into Microsoft Office objects, mainly into Microsoft Excel.
Compatibility with the market characteristicsThe program in itself is a self-contained to a certain extent, the database of instruments can be modified/filled up by the user, simply modifying a worksheet (see how).This version is fine-tuned for the Hungarian capital market, for example the notations, codes for bonds/bills are built-in. Of course, it is possible to modify them in order to get it in accordance with any type of market standards. top Sample outputNot yet available. An actual sample output is expected to be shown soon.top AvailabilityThe freeware version was first released on June 15, 1998 and is no longer supported.A continuous improvement of the software is in progress. We are enhancing the methods applied, and making the user interface even more handy. This will allow you to integrate sophisticated estimation techniques with your everyday business activity and research work. A new enterprise edition is to be released.
top Contact usIf any aspects still unclear and/or you are
interested, do not hesitate to contact me. The easiest way is to
use this form.
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