Hi David,

I have some trouble in the T_distribution spread sheet (there is a graph missing on the 2nd page) plus “ctd cf.xls” under derivative section(a lot of data is lost and Excel gives a lot of warning about it too while opening ). If you can please check it.

Thanks,Sipani

Hi Sipani,

I will ask my IT help to look at tomorrow. I just tried myself and had no problem. Please check your system; most of the time these issue are frankly bad connection, but i will have use check...Thanks, David

Hi David,

When I re downloaded, it came out to be OK. Though,strangely their was a difference in the name ( underscore was missing earlier) and also the size...I think that export thing isn’t working properly because this time I clicked “here is the excel sheet”. Thanks and I am just loving these small spreadsheet .
Can you please upload a small spreadsheet on Bucket analysis and term structure chapter 9 Tuckman.That would be a great help.

Thanks,
Sipani

Hi Sipani,

okay, great, glad you like the small spreadsheets (me too! creating them has reinforced my understanding like no other way. This is why i think they may be helpful, gives concrete understanding)

Re term structure 9: Yes, I will be putting up two more on that: key rate & binomial..soon…

Re: bucket analysis. I don’t have an XLS built for this. But I will screencast on this next week (mon, tue and wed) but I won’t have time to make an XLS for buckets. Instead, I will ask the folks at fixedincomerisk.com if i can share their relevant XLS (their two excellent books are really where i have learned. much much better than Tuckman. they rock the term structure stage!)

David

Hi David,

Where on that page (under which link) can I get the relevant .xls .If it is free I myself can download it.

Thanks,Sipani

i don’t see any on the page (or i’d have just pointed to it). Each of their books has a CD with XLS. David

Hi Sipani,

See here, I asked for their bucket, he said he will get back
http://www.fixedincomerisk.com/phpBB3/viewtopic.php?f=45&t=13&start=0&st=0&sk=t&sd=a

Sanjay is author of Interest Rate Risk Modeling which is my favorite on duration.

David

Hi David,

Thanks for the effort.

Sipani

Sipani,

Gloria Soto shared her spreadsheet (XLS attached) that illustrates a partial derivative approach (PDA). See attached for the XLS

source of attachment: Gloria Soto @ http://www.fixedincomerisk.com

or better: thread here.

David