# Daily Archives: November 29, 2010

## Interest Rate Modelling: Principal Component Analysis (PCA) : How to conduct a Principal Component Analysis in Excel: Solver Setup & Results

Earlier we had defined the various elements of the Principal component Analysis (PCA) process. In order to link these elements and arrive at a feasible solution we will use the Solver Function. We define target, change and constraint cells through this function and run it

## Interest Rate Modelling: Principal Component Analysis (PCA) : How to conduct a Principal Component Analysis in Excel: Diagonal Matrix

We proceed with our construction of the Principal Component Analysis (PCA) process in EXCEL by defining the Diagonal Matrix in the worksheet. Calculate the diagonal matrix, P?P’, to determine the eigenvalues A diagonal matrix is a matrix where all cells equal zero with the exception

## Interest Rate Modelling: Principal Component Analysis (PCA) : How to conduct a Principal Component Analysis in Excel: Eigenvectors

In this post we continue with our construction of the Principal Component Analysis (PCA) process in EXCEL. We see how the eigenvector matrix and its inverse are defined in the worksheet. Assign dummy values for eigenvector matrix, P The next step in the process is

## Interest Rate Modelling: Principal Component Analysis (PCA) : How to conduct a Principal Component Analysis in Excel: Covariance Matrix

Continuing with our construction of the Principal Component Analysis (PCA) process in EXCEL, we will see how the adjusted rates computed earlier will be used to arrive at the next stage in the process, the covariance matrix of differences between consecutive rates in a particular

## Interest Rate Modelling: Principal Component Analysis (PCA) : How to conduct a Principal Component Analysis in Excel: Data

Earlier we had provided an overview to the Principal Component Analysis (PCA) process. In this post we will consider the data that will be used in the analysis and the adjustments that would need to be made to the data before it can be use