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	Market Data Analytics   Sigma.xll :  Compute volatility and correlation prices with 0.94, 0.97 or any Lambda.   ZeroPrices.xll :  Convert zero rates into zero prices.   Map.xll :  Map cash flows to your different vertices.Quadratic, Linear & Nominal.

Prices/Rates

Real-time Sigma and Rho with Lambda.

Compute Mean Zero volatility and correlation according to the standard RiskMetrics methodology.
Users can define any optimal decay factor according to horizon cutoff and sampling.
The function assumes prices are provided.  If you are using quoted interest rates, 
you should convert interest rate levels into zero coupon bond prices prior to computing volatility (Sigma.xll). 
For further information see Zero Prices add-in .

The algorithm implements the following equation through an appropriate weighting of returns.

Note:

0.94 is the Lambda for Daily sampling. This gives weight to 75 days of data.
0.97 is the Lambda for Monthly sampling. This gives weight to 126 days of data.

Download Sigma Decay Zip File

Zip file includes:Sigma.xll (Add-In),spreadsheet, on-line help and application example.

Download Individual Components:

Prices converts interest rate yield levels into zero coupon bond prices via a frequency adjusted continuous linear interpolation. This is the exact formula used in industry by RiskMetrics ® 

View On-Line help.

Excel® C++ Add-in and on-line help.

                      Download Prices Zip File

Zip file includes: ZeroPrices.xll (Add-In), spreadsheet, on-line help and application example.

Download Individual Components

This tools Maps any cash-flow to a set of predefined vertices. Algorithms are the industry standard. Three Sets of Mapping Functions are Available. Quadratic, which is the mapping function for which RiskMetrics is widely known. Unfortunately, there were problems with this approach so it has been deprecated.

Linear is the simple DV01 linear interpolation which has been used in the market for the past 8-10 years at least and the Forward Linear, which simply splits the flow without prior discounting.

View On-Line help

Excel® C++ Add-in and Demo Spreadsheet and on-line help.

Download Map Zip File

Zip file includes: Map.xll (Add-In), spreadsheet, on-line help and application example.

Download Individual Components