{"text_format":"1","workbook":"xlsx","n_sheets":6,"sheets":["Instructions","Main","Para","Prices","Flows","Graph"],"not_rendered":{"charts":1,"images":0,"macros":1,"external_links":0,"defined_names":0,"comments":0,"pivot_tables":0},"unopened":[],"bounds":{"document_bytes":16777216,"sheet_cells":100000,"rows_first":2000,"rows_last":500,"rows_between":2000,"halvings":0,"cell_chars":16384,"cell_head_chars":4096},"cells_cut":0,"cells_raw":0,"read":"whole","date_system":"1900"}

{"sheet":"Instructions","index":0,"n_rows":20,"n_cols":2,"rows_kept":20,"cut":false,"hidden":false,"merged":[]}
["Instructions for use "]
[]
["1. This workbook should reference the accompanying library lib.xlsm (Editor VB, References)."]
["2. To compute a zero coupon yield curve, three sheets in this workbook must be edited: Para, Prices, and Flows."]
["3. On the sheet Para it is necessary to enter:"]
[null,"Smoothness parameter; recommended value is zero; higher value leads to a smoother curve"]
[null,"Start Rate (% p.a.) - the money market overnight or a similar interest rate as a decimal (0.01 = 1%)"]
[null,"Spot Time (yrs) - the time to the spot date (usually 2 working days) as a fraction of year; can be zero. "]
["4. On the sheet Prices, user-defined mnemonics and  gross prices for each instrument."]
["5. On the sheet Flows, blocks of future cash flows for each instrument."]
[null,"The blocks may be in arbitrary order, but all flows from one instrument must be in one block, no time ordering necessary."]
[null,"The time of each flow as measured from the computation date is in years, according to the day convention used."]
[null,"The mnemonics must be the same as used in Prices."]
["6. On the sheet Main the buttons serve to initiate (Ini) and to compute (Comp) the YC."]
["7. In the first three columns on this sheet the mnemonics, price and yield errors wrt the YC will be listed."]
["8.The YC graph on the Main page will be updated. "]
[null,"The sheet Graph lists the times (in blue) to be plotted; the computed values of the YC are in red."]
[null,"The list of the (blue) times can be modified at will."]
[]
["N.B. The values in this Workbook are simulated data - bonds with a constant coupon and randomly generated flow times.    "]

{"sheet":"Main","index":1,"n_rows":9,"n_cols":3,"rows_kept":9,"cut":false,"hidden":false,"merged":[]}
["Mnemo","Price Err (bp)","Yield Err (bp)"]
["Bond_1",1.2105999999999999,1.5071000000000001]
["Bond_2",0.2944,0.36059999999999998]
["Bond_3",-2.7574999999999998,-1.4612000000000001]
["Bond_4",-12.261699999999999,-3.4588000000000001]
["Bond_5",18.279800000000002,2.0531999999999999]
["Bond_6",35.912799999999997,2.3771]
["Bond_7",-23.8827,-0.77600000000000002]
["Bond_8",-23.285499999999999,-0.77310000000000001]

{"sheet":"Para","index":2,"n_rows":10,"n_cols":4,"rows_kept":10,"cut":false,"hidden":false,"merged":[[0,0,0,1],[0,2,0,3]]}
["Input parameters",null,"Output parameters"]
[0,"smoothing parameter","13.04.2018  20:48:09","time stamp"]
[2E-3,"spot curve start rate (% p.a.)",0,"smoothing parameter"]
[5.5555555555555558E-3,"(spot date - current date) in yrs",1.8560000000000001,"yield RMSE (bps)"]
[null,null,3,"no. of inflexion points on the spot curve"]
[null,null,46,"runtime of the core procedure (ms)"]
[null,null,17,"no. of iterations"]
[null,null,3,"no. of matrix inversions"]
[null,null,8,"no. of instruments"]
[null,null,29.88,"time of the longest cashflow (yrs)"]

{"sheet":"Prices","index":3,"n_rows":9,"n_cols":2,"rows_kept":9,"cut":false,"hidden":false,"merged":[]}
["Mnemo","Gross Price (%)"]
["Bond_1",102.11]
["Bond_2",104.12]
["Bond_3",108.899]
["Bond_4",117.251]
["Bond_5",{"$f":"122.217","v":122.217}]
["Bond_6",{"$f":"136.03926","v":136.03926000000001}]
["Bond_7",151.216791]
["Bond_8",{"$f":"152.087655","v":152.08765500000001}]

{"sheet":"Flows","index":4,"n_rows":364,"n_cols":3,"rows_kept":364,"cut":false,"hidden":false,"merged":[]}
["Mnemo","Time (yrs)","Flow"]
["Bond_1",0.34617783226470411,1]
["Bond_1",0.79096478743534804,101]
["Bond_2",0.37707501129870619,1]
["Bond_2",0.70012279382550069,1]
["Bond_2",0.78737268440695518,1]
["Bond_2",0.78913500396213043,101]
["Bond_3",0.42280104622757542,1]
["Bond_3",0.6959547915606904,1]
["Bond_3",0.87918850635702128,1]
["Bond_3",1.2917427345837518,1]
["Bond_3",1.4335010129458858,1]
["Bond_3",1.6283371369122146,1]
["Bond_3",1.674390785152055,1]
["Bond_3",1.7737744251620902,101]
["Bond_4",0.1299281673731858,1]
["Bond_4",0.54501886465377625,1]
["Bond_4",0.60328611879301808,1]
["Bond_4",0.73789388861377314,1]
["Bond_4",1.0120155223812919,1]
["Bond_4",1.4920617815013726,1]
["Bond_4",1.7971769594573794,1]
["Bond_4",2.2959678935608498,1]
["Bond_4",2.3669615963598645,1]
["Bond_4",2.3775750475360313,1]
["Bond_4",2.5141905226701526,1]
["Bond_4",2.5446373387500021,1]
["Bond_4",2.7570994129529702,1]
["Bond_4",2.7894625711503087,1]
["Bond_4",2.8391818677013809,1]
["Bond_4",3.2096084490118204,101]
["Bond_5",0.11278618004042429,1]
["Bond_5",0.24424250948440468,1]
["Bond_5",0.63080775373153053,1]
["Bond_5",1.0039722231666393,1]
["Bond_5",1.4678656033284405,1]
["Bond_5",1.7895986841428568,1]
["Bond_5",2.0347091038489848,1]
["Bond_5",2.3681865450733506,1]
["Bond_5",2.6999654114295129,1]
["Bond_5",2.7344050606647015,1]
["Bond_5",2.8293721642585092,1]
["Bond_5",3.3138733786936734,1]
["Bond_5",3.7105155832123158,1]
["Bond_5",3.8600465494153555,1]
["Bond_5",3.8809837002769298,1]
["Bond_5",4.2376174106386415,1]
["Bond_5",4.5158336341046894,1]
["Bond_5",4.9420869841116932,1]
["Bond_5",5.0962781635524816,1]
["Bond_5",5.5340600554905715,1]
["Bond_5",5.8497816895990953,1]
["Bond_5",6.0726271358580313,1]
["Bond_5",6.3703494598635197,1]
["Bond_5",6.7577566300162459,1]
["Bond_5",6.9508352098014079,1]
["Bond_5",7.2252562915006777,1]
["Bond_5",7.3730040921432849,1]
["Bond_5",7.4673417148296943,1]
["Bond_5",7.5930463014426293,1]
["Bond_5",7.6461896850205395,1]
["Bond_5",8.049032410003214,1]
["Bond_5",8.2673940754894524,101]
["Bond_6",9.3101143431608191E-2,1]
["Bond_6",0.181153007798314,1]
["Bond_6",0.63312540470998357,1]
["Bond_6",0.93744194897621158,1]
["Bond_6",0.96173851392135679,1]
["Bond_6",1.3525783901167201,1]
["Bond_6",1.3635224290781927,1]
["Bond_6",1.4795839995791349,1]
["Bond_6",1.7238345545465821,1]
["Bond_6",1.9106659027565465,1]
["Bond_6",2.0743748067774042,1]
["Bond_6",2.3672505743245571,1]
["Bond_6",2.7130578136107379,1]
["Bond_6",2.9658347767149968,1]
["Bond_6",3.3485422377814094,1]
["Bond_6",3.3647037427180697,1]
["Bond_6",3.4172345799197275,1]
["Bond_6",3.5505196866256963,1]
["Bond_6",3.7739766949335118,1]
["Bond_6",4.0817028049597202,1]
["Bond_6",4.1244726384467487,1]
["Bond_6",4.2757873962426958,1]
["Bond_6",4.7098423370065339,1]
["Bond_6",5.0175306021751123,1]
["Bond_6",5.1884708500862633,1]
["Bond_6",5.3227564677448402,1]
["Bond_6",5.7410838942606919,1]
["Bond_6",6.1527482640073989,1]
["Bond_6",6.3837107213501483,1]
["Bond_6",6.7651811749183617,1]
["Bond_6",7.2237703925909145,1]
["Bond_6",7.3972512335839458,1]
["Bond_6",7.6560611452978966,1]
["Bond_6",8.0482355824507366,1]
["Bond_6",8.0914792171104644,1]
["Bond_6",8.5206276180511207,1]
["Bond_6",8.6122017262419224,1]
["Bond_6",8.9896932465494341,1]
["Bond_6",9.0824613182079386,1]
["Bond_6",9.3701249763026713,1]
["Bond_6",9.4381442090527639,1]
["Bond_6",9.468650305710824,1]
["Bond_6",9.8932238798657561,1]
["Bond_6",10.109026843102669,1]
["Bond_6",10.260593199390781,1]
["Bond_6",10.300133588020177,1]
["Bond_6",10.318724455620323,1]
["Bond_6",10.423511023007118,1]
["Bond_6",10.694642945401833,1]
["Bond_6",11.055036186143285,1]
["Bond_6",11.161278548634202,1]
["Bond_6",11.281956902327961,1]
["Bond_6",11.580578025453377,1]
["Bond_6",11.876539583663298,1]
["Bond_6",12.16026556306524,1]
["Bond_6",12.233758234646457,1]
["Bond_6",12.266547356044128,1]
["Bond_6",12.512167896579896,1]
["Bond_6",12.896205488875248,1]
["Bond_6",13.043304865528329,1]
["Bond_6",13.49516295241528,1]
["Bond_6",13.976027029451043,1]
["Bond_6",14.278093308203283,1]
["Bond_6",14.328906034892135,101]
["Bond_7",8.4514641653749611E-2,1]
["Bond_7",0.44034279728360565,1]
["Bond_7",0.81394675069700728,1]
["Bond_7",0.84049666338525442,1]
["Bond_7",1.0702913562483303,1]
["Bond_7",1.2938001525289533,1]
["Bond_7",1.7824149163296494,1]
["Bond_7",1.909993715721874,1]
["Bond_7",2.1586221861502666,1]
["Bond_7",2.3482760293139471,1]
["Bond_7",2.6149802554888346,1]
["Bond_7",2.9177907116715556,1]
["Bond_7",2.963946319051824,1]
["Bond_7",3.3725939005725514,1]
["Bond_7",3.848089148778338,1]
["Bond_7",4.1405686355357485,1]
["Bond_7",4.6290658163570955,1]
["Bond_7",5.0945623373078721,1]
["Bond_7",5.3677164922326881,1]
["Bond_7",5.6686566492776365,1]
["Bond_7",5.7552780011212832,1]
["Bond_7",5.8706611038989767,1]
["Bond_7",6.0355009264609647,1]
["Bond_7",6.2666221287943378,1]
["Bond_7",6.5381049118281487,1]
["Bond_7",6.6702849675921572,1]
["Bond_7",7.1348757695174587,1]
["Bond_7",7.2228651032221531,1]
["Bond_7",7.572563880488592,1]
["Bond_7",8.0240644699464347,1]
["Bond_7",8.2335562594481644,1]
["Bond_7",8.6959814300031955,1]
["Bond_7",8.7774274086779833,1]
["Bond_7",9.1913148058595766,1]
["Bond_7",9.5939221740248204,1]
["Bond_7",9.935193671482212,1]
["Bond_7",10.255463286864842,1]
["Bond_7",10.706343642032451,1]
["Bond_7",10.833835533254984,1]
["Bond_7",11.242207427452504,1]
["Bond_7",11.589774175791689,1]
["Bond_7",11.970187936808472,1]
["Bond_7",12.260732278660651,1]
["Bond_7",12.275063960727648,1]
["Bond_7",12.594503440917167,1]
["Bond_7",12.978957315745758,1]
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["Bond_7",13.473466909621933,1]
["Bond_7",13.80758506842816,1]
["Bond_7",13.95547457097217,1]
["Bond_7",14.140541830046283,1]
["Bond_7",14.519538058316876,1]
["Bond_7",14.855188318501337,1]
["Bond_7",15.127175912979189,1]
["Bond_7",15.501613114155713,1]
["Bond_7",15.813784354736134,1]
["Bond_7",16.288425127441577,1]
["Bond_7",16.362193694427738,1]
["Bond_7",16.766001395517435,1]
["Bond_7",16.911190044432772,1]
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["Bond_7",17.425724300410568,1]
["Bond_7",17.596888020773388,1]
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["Bond_7",17.994579308784424,1]
["Bond_7",18.399325436425151,1]
["Bond_7",18.782837800132459,1]
["Bond_7",19.051754140664471,1]
["Bond_7",19.491527310142949,1]
["Bond_7",19.839333470987139,1]
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["Bond_7",21.817664737013612,1]
["Bond_7",21.930990775688311,1]
["Bond_7",22.343837150944424,1]
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["Bond_7",28.810413053959611,1]
["Bond_7",28.959128385751914,1]
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["Bond_7",29.190760529935655,1]
["Bond_7",29.308001719668692,1]
["Bond_7",29.435483003914317,1]
["Bond_7",29.679122568258418,101]
["Bond_8",4.1027476408545538E-2,1]
["Bond_8",0.24350393884634197,1]
["Bond_8",0.65983926164603934,1]
["Bond_8",0.9842461793255699,1]
["Bond_8",1.1927914972783258,1]
["Bond_8",1.2611237806809463,1]
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{"sheet":"Graph","index":5,"n_rows":55,"n_cols":3,"rows_kept":55,"cut":false,"hidden":false,"merged":[]}
["Maturity (yrs)","Spot (% p.a.)","Bmark"]
[0.2,1.0825800000000001E-3]
[0.3,6.2474000000000004E-4]
[0.4,2.185E-4]
[0.5,-2.4242E-4]
[0.6,-6.8659999999999999E-4]
[0.7,-1.1512200000000001E-3]
[0.8,-1.58413E-3]
[0.9,-2.1155100000000001E-3]
[1,-2.54061E-3,{"$f":"B10","v":-2.54061E-3}]
[1.2,-3.3748799999999998E-3]
[1.4,-3.9984900000000004E-3]
[1.6,-4.4665399999999997E-3]
[1.8,-4.7088099999999999E-3]
[2,-4.8580100000000003E-3]
[2.2000000000000002,-4.7791099999999996E-3]
[2.4,-4.6785100000000003E-3]
[2.6,-4.38413E-3]
[2.8,-4.0751700000000004E-3]
[3,-3.6547900000000002E-3,{"$f":"B20","v":-3.6547900000000002E-3}]
[3.2,-3.1499700000000002E-3]
[3.4,-2.68973E-3]
[3.6,-2.01834E-3]
[3.8,-1.4176200000000001E-3]
[4,-7.8927000000000001E-4]
[4.2,-9.2020000000000003E-5]
[4.4000000000000004,5.4184999999999997E-4]
[4.5999999999999996,1.21225E-3]
[4.8,1.9017400000000001E-3]
[5,2.5360600000000001E-3,{"$f":"B30","v":2.5360600000000001E-3}]
[5.5,4.1600300000000003E-3]
[6,5.6813200000000001E-3]
[6.5,7.0914300000000001E-3]
[7,8.4279300000000001E-3]
[7.5,9.64513E-3]
[8,1.074311E-2]
[8.5,1.1742829999999999E-2]
[9,1.263572E-2]
[9.5,1.343842E-2]
[10,1.41569E-2,{"$f":"B40","v":1.41569E-2}]
[11,1.5379469999999999E-2]
[12,1.635323E-2]
[13,1.7114040000000001E-2]
[14,1.768902E-2]
[15,1.810086E-2,{"$f":"B45","v":1.810086E-2}]
[16,1.8380799999999999E-2]
[17,1.8560190000000001E-2]
[18,1.866282E-2]
[19,1.870689E-2]
[20,1.8696480000000001E-2,{"$f":"B50","v":1.8696480000000001E-2}]
[22,1.8587179999999998E-2]
[24,1.840638E-2]
[25,1.829853E-2]
[28,1.7967440000000001E-2]
[30,1.776053E-2,{"$f":"B55","v":1.776053E-2}]