# Tag Archives: HJM

## 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?Pā, 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

## Interest Rate Modelling: Principal Component Analysis (PCA) : Overview

Overview Principal components analysis (PCA) is a way to analyze the yield curve. It makes use of historical time series data and implied covariances to find factors that explain the variance in the term structure. Each additional factor is found so that they cumulatively maximize

## Interest Rate Modelling: HJM (Heath Jarrow Merton) Model: How to construct an Interest Rate Model in Excel ā Determine Prices

Earlier we had defined the input and calculation cells for the Heath-Jarrow-Merton (HJM) multifactor no-arbitrage model in EXCEL. In this post we will see how the output cells, i.e. the price matrix, path prices and true prices, are constructed. Standing at the origin, (Time Index

## Corporate Finance Training Course Guide Road Map

You would like to study corporate finance and have no idea where to start? Start here. Think of finance as a subject that answers three basic questions How do you evaluate opportunities for investment ā also known as the valuation question How do you choose

## Interest Rate Simulations: Pricing securities, forecasting monetary policy

In addition to the Interest Rate Forecasting workshop now scheduled for 28th and 29th December, our first downloadable pdf edition of the Interest Rate Modeling course is now on sale on the online finance course store. The course was written specifically to support the interest

## HJM (Heath Jarrow Merton) Model: Define calculation cells

HJM Interest Rate Simulation Model Earlier we had defined the input cells for the Heath-Jarrow-Merton (HJM) multifactor no-arbitrage model in EXCEL. In this post we will see how the calculation cells are built up. These include cells for calculating the Brownian shocks, Drifts and Spot