Calculation of Key Rate Durations using R code

This post explains how to calculate the key rate durations (KRD). Ho (1992) introduces KRD to measure non-parallel movements of the yield curve that the existing duration measures can not describe as these are defined under the assumption of a parallel shift of the yield curve.

Pricing of FX Forward in R and Excel

This post explains how to price a FX forward. We assume that 1) USD is the foreign currency and KRW the domestic one, 2) USD IRS zero curve and KRW FX implied zero curve are given. Before making a R code, we use Excel spreadsheet for the clear understanding of the calculation process.

Simple Linear Interpolation without VBA Macro in Excel

This post presents a simple but useful Excel formula for the linear interpolation without VBA Macro. This is most frequently used especially when dealing with repeated zero curve interpolations. Instead of making a VBA macro, we can use the built-in Excel function for linear regression quickly .

Hull-White 2-factor model : 3) Simulation

This post discretizes Hull-White 2-factor model and provide derivations of the simulation equations.

Hull-White 2-factor model : 2) Zero coupon bond

This post derives the expression of zero coupon bond price of Hull-White 2-factor model.

Hull-White 2-factor model : 1) Introduction

This post introduces Hull-White 2-factor model and derives integrations of some important stochastic process which are ingredients of short rate process.