## Product Description

Derivative Pricing for Interest Rate Derivatives

under Heath-Jarrow-Morton (HJM) Framework

for Term Structure of Interest Rates

with

Principal Components Analysis (PCA),

Monte Carlo Simulation (MCS),

Credit Valuation Adjustment (CVA)

Package comes with:

- Excel Workbook (.xlsm) Implementation
- With Sample Historical Forward Rates Term Structure from Bank of England
- With Differentiated Forward Rates
- With Covariance Matrix and Plot of Differentiated Forward Rates
- With Principal Component Analysis (PCA) of the Covariance Matrix
- VBA Function to Extract Eigen-Vectors
- VBA Function to Extract Eigen-Values
- 1-Click to Sort Results by Eigen-Values
- Volatility Response of Top 3 Factors (Level, Slope, Curvature)
- Volatility Term Structure for Top 3 Factors

- Volatility Fitting
- Factor 1 = Level = Constant
- Factor 2 = Slope = Polynomial, 1-Click Regression
- Factor 3 = Curvature = Polynomial, 1-Click Regression

- Monte Carlo Simulation (MCS) with Credit Valuation Adjustment (CVA)
- Simulate 1 time
- Simulate n times
- Calculate Average of n Simulations
- Get Simulated Prices for
- Zero-Coupon Bond
- Caplet
- Floorlet
- Forward Rate Agreement (FRA)
- Cap
- Floor
- Payer Swap
- Receiver Swap

- The sheet uses Payer Swap (this can be easily modified) for CVA adjustment
- Price before adjustment
- CVA adjustment
- Price after CVA-adjustment

- All VBA modules
- are NOT password protected
- are fully exposed for your modification
- well commented

- Basic User Guide
- Basic instructions on how to use the Excel Workbook Implementation
- In Word (.docx) format
- In PDF (.pdf) format

- Mathematical Theory and Code Guide
- Full explanation of the model with mathematical formulas and derivations
- Full explanation of code
- In Word (.docx) format
- In PDF (.pdf) format

Works on:

- Windows PC (with an internet connection and access to finance.yahoo.com)
- Microsoft Excel 2016, 2013, 2010, 2007

Please contact us if you have requests to customize the spreadsheet.

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