ZeroPrices contains functions to transform interest rates into prices.

Many experienced risk management professionals still seem at odds with this very basic concept. 
In practice when one refers to interest rate price sensitivity one refers to Zero Coupon prices returns.

Zero coupon rate to zero coupon price conversion is necessary during VaR computation.
This conversion can take place either at the source, thereby converting rates into prices 
prior to return computation or later on while computing variance/covariance and volatility.

Analytics

Time Series Conversion

ZeroPriceReturns:

Computes returns on Zero Coupon bond Prices from one or multiple time series of Interest Rates.

ZeroPricesfromRates:

Computes Zero Coupon Prices from one or a series of interest rates levels or time series.

Syntax
ZeroPriceReturns(Vertex Rate,Vertex Maturity,Vertex Freq,Activate, Order )  
ZeroPriceReturns takes   5 Arguments:

ZeroPricesfromRates( Vertex Rate,Vertex Maturity,Vertex Freq,Activate, Order )

ZeroPricesfromRates takes  4 Arguments:

ZeroCouponPrice( Vertex Rate,Vertex Maturity,Zero Maturity,Vertex Freq,Activate )

ZeroCouponPrice Vertices takes 5 Arguments:

Note:                     Setting  Zero Coupon Bond Maturity equal Vertex returns the Vertex price.  

Analytics:

This approach relies on the relationships between discreet and continuous rates. Namely

             exp(-r)=1/(1+R/m)^{^m}

                                                  And

             r=ln(1+R/m)*m

Where m is the compounding frequency of the rate in question. R is discrete and r is continuous.

First, discrete rates are transformed into continuous rates. These continuous rates are then used to perform the industry standard linear interpolation. Once the annual rate for the period in question has been obtained it is carried over the amount of its life continuously and converter into a zero via exp(-r*t).

The log returns are then simply computed via the standard.

Returns= log[ P(T)/P(T-1)].

where P(T), P(T-1) are the Zero Coupon Bond Prices observed at time T and T-1 respectively.

Notice that log[ P(T)/P(T-1)]. = Log(P(T)- Log(P(T-1)) which with unitized returns provides a powerful speeding mechanism.

For those working in secure environments, the code for these two functions is freely available.