FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide

Transcription

1 FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide

2 FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Software Version:

3 FINCAD makes no warranty either express or implied, including, but not limited to, any implied warranties of merchantability or fitness for a particular purpose regarding these materials, and makes such materials available solely on a as-is basis. In no event shall FINCAD be liable to anyone for special, collateral, incidental, or consequential damages in connection with or arising out of purchase or use of these materials. This information is subject to change without notice. FINCAD assumes no responsibility for any errors in this document or their consequences, and reserves the right to make improvements and changes to this document without notice. Copyright Copyright 2009 FINCAD. All rights reserved. Trademarks FinancialCAD and FINCAD are registered trademarks of FINCAD. Other trademarks are the property of their respective holders. FINCAD makes no warranties, express or implied, in this summary. Revisions Every effort has been made to ensure the accuracy of this document. FINCAD regrets any errors and omissions that may occur and would appreciate being informed of any errors found. FINCAD will correct any such errors and omissions in a subsequent version, as feasible. Please contact us at: or FINCAD Central City, Suite nd Avenue Surrey, BC V3T 5X3 Canada Block 4, Blackrock Business Park Carysfort Avenue, Blackrock Dublin, Ireland Document Information Document Name: FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide

4 Contents Overview...1 Asset Class & Instrument Coverage Offered... 2 Models and Methods Offered... 4 System Requirements (minimum)...5 Getting Started...6 Installing FINCAD Analytics Suite 2009 for Excel... 6 Starting FINCAD Desktop icon / Shortcut in Start Menu Add In Menu Alternative Using License Manager Activating your FINCAD License FINCAD ANALYTICS SUITE 2009 FOR EXCEL Menu Overview...22 FINCAD Analytics Finder...23 Browsing for Functions Searching for Functions Pasting an Example Calculating Results Pasting a Function Editing a Function Math Reference Function Reference Help Favorites Accessing All functions, Workbooks, and Math References Function Wizard...39 Workbooks...44 Workbooks Curve Settings Workbooks Workbooks (FINCAD Market Data) Workbooks Bloomberg Data Specific Workbook Utilities Working with Switches Remove Formatting Perform Sensitivity Analysis Generate Cash flow Report...62 Documents...64 Function Reference Math Reference First time user Feedback...68 Support Resources...69 i

5 Contents (cont.) Function Error Handling...70 Disable or Enable Error Handling Validate Inputs Common Causes of #VALUE! Error Message Check for Updates...74 About...75 Exit...76 FINCAD Jargon...77 Naming Conventions Prefix Root Words Suffixes Using Excel Functionality...78 Calculating Arrays To extend cash flow tables using arrays Creating Named Ranges To create a named range using the Name Box To create a named range using the Define command To create dynamic named ranges Using Relative and Absolute Cell References Relative Cell References Absolute Cell References Goal Seek Excel Function Wizard ii

6 Overview FINCAD Analytics Suite 2009 for Excel is an easy to use Microsoft Excel add in application containing financial functions and professionally designed and developed workbook solutions for valuing and measuring the risk of financial securities and derivatives. The entire Suite has over 1,600 modeling functions covering major asset classes: commodities, credit, equities, fixed income, foreign exchange, inflation, interest rates and mortgage backed securities. It also contains over 200 Professionally Developed Workbook Solutions that combine FINCAD analytics with advanced Excel functionality. You can download the entire application for 7 days from FINCAD analytics, a core part of FINCAD Analytics Suite 2009 for Excel, are used by over 35,000 business users in over 80 countries. FINCAD Analytics Suite 2009 for Excel is used to: Confirm deal pricing Assess market risk Mark to market positions and portfolios Evaluate investment alternatives Run scenario analysis Reverse engineer complex deals Calculate Value at Risk (VaR) FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 1 of 98

7 Asset Class & Instrument Coverage Offered Interest Rate Derivatives accrual swaps asset swaps average rate caps, floors, swaptions basis swaps, swaptions callable snowball swaps / notes capped floater swaps (callable) CMS / CMT swaps, swaptions, caps / floors CMS Range Accrual Swaps CMS spread swap, swaptions, caps / floors CMS spread TARN Swap CMS TARN Swaps cross currency swaps, swaptions digital caps / floors term structure calibration European / Bermudan / American swaptions in arrears swaps inverse floater swaps (callable) BMA / tax exempt swaps, swaptions, caps OIS / EONIA Swaps percentage of LIBOR swaps, swaptions PRDC notes quanto swaps, swaptions range accrual swaps (callable) Snowblade swaps SnowRange note TARN Swaps vanilla / amortizing swaps, swaptions, caps / floors volatility bootstrapping (caps / floors) zero coupon swaps Fixed Income Securities and Derivatives amortizing bonds bond forwards bond futures bond options callable bonds & OAS cash flow calculations CMS TARN CMS Spread TARN CMS Range Accrual Note (callable) conversion factors convertible bonds discount securities floating rate notes (with discount margin) forward rate agreements government & corporate bonds inflation bonds jurisdictional specific models (35 countries) money market instruments municipal / tax exempt bonds snowball / snowblade structured notes (range accruals, etc.) TARN Notes Trigger swap zero coupon bonds Credit Derivatives asset swaps base correlation mapping basket CDS, cash flows and options cash flow CDOs with waterfall CDO Tranches (synthetic & standard) CDO Tranche cash flows CDO Tranche Linked Notes CDS index options CDS on indices CDS on single names, cash flows, & options credit loss distribution calculations credit linked notes credit spread options, forwards default probability curve generation first to default, nth to default, n out of m to default first loss CDS and CDO tranches Greeks and risk sensitivities hazard rate curves rating sensitive notes total return swaps utilities IMM date compliance and upfront payments for CDS FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 2 of 98

8 Options American, Asian, Bermudan, European Altiplano average strike barrier (double & single) basket binary binary (single barrier) binary spread chooser cliquets compound currency translated deferred strike (forward start) double average employee stock options forward start options forwards and futures freight local volatility (American, European exercise) lookback multi asset Napoleon power & quotient quanto spread variance / volatility swaps Foreign Exchange Derivatives swaps, swaptions forwards / futures vanilla & exotic options Commodity Derivatives Asian, spread & other exotic options forwards / futures options on commodity futures swaps, swaptions Mortgage Backed Securities accrual bonds fixed rate passthroughs or pools IO / PO bonds pro rata bonds PAC bonds & companion PACs TAC bonds & companion TACs Equity Derivatives convertible bonds employee stock options vanilla options exotic options such as baskets, options including quantos & asian index options variance / volatility swaps warrants Inflation Instruments inflation swaps inflation indexed bonds Curve Building curve manipulation numerous bootstrapping methods for swaps curves, bond curves, tax exempt swap curves & inflation curves supports live data feeds that work with Excel, (examples: Bloomberg, Reuters ) See individual instrument sheets for further details. FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 3 of 98

9 Models and Methods Offered General Black Scholes Cox Rubenstein Heston Model SABR Interest Rate Black Hull White short rate (1 and 2 factor) Black Karasinski short rate (1 factor) Two Additive Factor Gaussian short rate LIBOR Market Model (BGM/J) FX Garman Kohlhagen Cross currency multi factor hybrid IR/FX Credit Recursion method for CDOs Displaced Diffusion Model for CDS index options (Liu and Jackel) Gaussian Copula function model (Li) Multi period Credit Index model (Hull White) General Calculation binomial & trinomial trees closed form analytical solutions fast Fourier transform methods matrix methods (eigenvalues, Cholesky decomposition, inversion, etc) minimization algorithms (Levenberg Marquardt, Downhill Simplex) Monte Carlo simulation (including Longstaff Schwarz for early exercise) numerical integration (Gaussian quadrature, Simpson's method, etc) partial differential equations (PDEs) regression (linear, polynomial) recursion methods (for synthetic CDOs) root finding algorithms (Bisection, Newton Raphson, Brent) FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 4 of 98

10 System Requirements (minimum) Free hard drive space: 300 MB Memory: 512 MB RAM Processor: 500 MHz Pentium or Athlon Requires: Microsoft Excel XP Operating System: Microsoft Windows XP Service Pack 2 FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 5 of 98

11 Getting Started Installing FINCAD Analytics Suite 2009 for Excel FINCAD Analytics Suite 2009 for Excel can be downloaded from or installed from a CD. 1. Before downloading, you are prompted to run the application or save it. 2. If you click Run, the program downloads and automatically opens the Installation wizard. Follow the set up instructions to install. FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 6 of 98

12 3. If you click Save, the Save As dialog box is displayed. The default setting is to save to the Desktop. FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 7 of 98

13 4. Once you save it on the desktop, click on FINCAD_Suite2009_Excel.exe to install and follow the set up instructions. 5. You are prompted to accept the license agreement. FINCAD Analytics Suite 2009 for Excel automatically installs in the following directory: C: Program Files\FINCAD\Suite 2009 for Excel. To select a different directory, click Change, then browse for a different location. FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 8 of 98

14 6. Click Next to install the program and click Finish when the installation is completed. FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 9 of 98

15 Starting FINCAD You can start FINCAD Analytics Suite 2009 for Excel using shortcut methods or within Microsoft Excel itself. Desktop icon / Shortcut in Start Menu When FINCAD Analytics Suite 2009 for Excel is installed on your machine, an icon is added to your desktop as well as a short cut in the Start menu. You can load FINCAD Analytics Suite 2009 for Excel: by double clicking on the desktop icon or by clicking Start > All Programs > FINCAD > Analytics Suite 2009 for Excel. FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 10 of 98

16 Add In Menu Alternative FINCAD Analytics Suite 2009 for Excel can load every time you start Microsoft Excel. For Microsoft XP 1. Open Excel and click Add Ins under Tools. 2. In the add in menu select Browse. Then browse to C:\Program Files\FINCAD\Suite 2009 for Excel (or the directory where you have installed FINCAD Analytics Suite 2009 for Excel). 3. Select the file FINCADforExcel.xla (1,384 KB) if you have a Microsoft Excel version earlier than Do not select any of the other.xla or.xll files. FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 11 of 98

17 4. Once you add FINCAD Analytics Suite 2009 for Excel to the list of available add ins, click OK. FINCAD Analytics Suite 2009 for Excel will now load every time you start Microsoft Excel. There are two versions of the Suite 2009 for Excel add in file. One is designed to use with Excel 2007 while the other is designed to use with previous versions of Microsoft Excel. C:\Program Files\FINCAD\Suite 2009 for Excel\FINCADforExcel.xla 1,384 KB (for older versions) C:\Program Files\FINCAD\Suite 2009 for Excel\FINCADforExcel2007xlam 772 KB (for Excel 2007) For Microsoft 2007 Excel 2007 has features, such as the ribbon bar, which are unavailable in older versions of Microsoft Excel and Add ins, which use these features, are not compatible with older versions of Microsoft Excel. Therefore, the menu ribbon may not appear when you are working in Excel The installer will automatically detect whether or not you have Excel 2007 installed on your machine. However, if you upgrade to Excel 2007 after installing FINCAD Analytics Suite 2009 for Excel or if you are using more than one version of Microsoft Excel on your machine then you may need to switch the version of the Suite 2009 for Excel add in that you are working with to make sure that you get the full feature set in Excel If you use the Add ins feature to load FINCAD Analytics Suite 2009 for Excel each time you load Excel, then you will also need to know the correct version of the add in to reference in the Add ins dialog box. FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 12 of 98

18 1. Open Excel and click the Microsoft Office button on the top left corner, and then click Excel Options. 2. Click Add Ins. The Add Ins box is displayed. 3. In the Manage box, click Excel Add Ins, and then click Go. A list of Excel Add Ins is displayed. FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 13 of 98

19 4. In the add in menu select Browse. Then browse to C:\Program Files\FINCAD\Suite2009 for Excel. (or the directory where you have installed FINCAD Analytics Suite 2009 for Excel). 5. Select the file FINCADforExcel2007.xlam (772 KB) for Excel versions 2007 and later. Do not select any of the other.xla or.xll files. 6. Once you add FINCAD Analytics Suite 2009 for Excel to the list of available add ins, click OK. FINCAD Analytics Suite 2009 for Excel will now load every time you start Microsoft Excel. FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 14 of 98

20 Disabling Internet Access from FINCAD Analytics Suite 2009 for Excel 1. Make sure that FINCAD Analytics Suite 2009 for Excel is closed. 2. Go to C:\Program Files\FINCAD\Suite2009 for Excel. 3. Go to FINCADforExcelConfig.ini and open the file. 7. Find EnableInternet=True. 8. Modify this to read EnableInternet=False and Save. FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 15 of 98

21 Using License Manager Use the License Manager tool to activate a trial, extend a trial, activate a purchased license, or transfer a license to another computer. Important If you have your Windows font size set to a large scale (120 DPI), some of the text in the License Manager may not appear. To view the entire contents of License Manager, go to your Windows Display and set your font size to normal. To activate an initial trial FINCAD Analytics Suite 2009 for Excel initially installs as a 7 day trial. Shortly after you download the product, FINCAD will send you an message which lets you access FINCAD Analytics Suite 2009 for Excel. Important The 7 day trial begins immediately once you download FINCAD Analytics Suite 2009 for Excel from the FINCAD website. To activate an extended trial After your initial trial has expired, you may request an extension by contacting FINCAD Sales. FINCAD will send you an message confirming the extension. To activate a purchased license After you have purchased the product, FINCAD will send you a confirmation message that includes a purchase key. FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 16 of 98

22 Activating your FINCAD License Important Do not delete your FINCAD activation until you activate the product license. 1. Open the message and copy the contents. 2. Open FINCAD Analytics Suite 2009 for Excel and select License Manager from the menu. The License Manager dialog box is displayed. Click Next. FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 17 of 98

23 3. Paste the contents into the text box as displayed below. Click Next. A Verifying Connection progress indicator is displayed. If the green checkmark appears, click Next and go to step 4.If an Internet Activation box is displayed as shown below, type in your contact information including your First and Last Names and your address. The Phone number is optional. Click Next. FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 18 of 98

24 If you cannot connect to the FINCAD Licensing server, notify your system administrator to allow you access to the server and start the procedure again or select the Perform a manual activation checkbox and click Next to continue with a manual activation. a. On the Activate Your License Manually dialog box, click Copy hardware ID and contact FINCAD with this number. Click Next. FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 19 of 98

25 b. FINCAD will send an message containing a license file. Copy the contents of the and paste into the Activate Your License text box. Click Next. A confirmation dialog box is displayed. 4. Finally, click Finish to successfully activate your FINCAD Analytics Suite 2009 for Excel license. FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 20 of 98

26 To deactivate your license on your machine Note: FINCAD recommends that you contact an account manager by phone to guide you through the process. At that time, FINCAD can also generate a new activation for your new installation. 1. Open the License Manager from the FINCAD menu and follow the instructions on the dialog boxes. 2. A dialog box displays deactivation code. 3. Copy or print the Deactivation Code and contact FINCAD (by telephone or ) with the code. 4. After you complete the deactivation, follow the Activation procedure described in the previous section to reactivate your license. FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 21 of 98

27 FINCAD ANALYTICS SUITE 2009 FOR EXCEL Menu Overview The FINCAD menu is between the View and Insert menus for MS Excel versions prior to The FINCAD menu is between the Insert and Page Layout menus for MS Excel FINCAD Analytics Finder The FINCAD Analytics Finder is used to access a searchable database of functions, pre built workbooks, and supporting documentation. Function Wizard The Function Wizard provides a user friendly interface for working with FINCAD functions Function Error Handling Diagnose problems with function inputs quickly and easily. Workbooks Over 200 pre built workbooks are available, including workbooks that are linked to Bloomberg curves and FINCAD market data. Documents Access comprehensive documentation, which includes Math and Function References. Support Access extensive support resources License Manager Use the license manager to activate a trial, activate a purchased license, extend a trial, or move FINCAD Analytics Suite 2009 for Excel to another computer. FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 22 of 98

28 FINCAD Analytics Finder The FINCAD Analytics Finder is the control center for FINCAD Analytics Suite 2009 for Excel and lets you access all of the functions in the library, pre built workbook solutions, and Math and Function References that you are licensed for. Open the Finder from the FINCAD Analytics Suite 2009 for Excel main menu. Your most Recently Used analytics features are displayed. The FINCAD Analytics Finder has two tabs for finding functions Browse (default) Search The FINCAD Analytics Finder has two windows The Function window The Reference window FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 23 of 98

29 Browsing for Functions The Browse tab is divided into two windows, the function window and the reference window. The function window is divided into four panels that are grouped by asset class, utilities, and risk measures in the first panel, instrument type in the second panel, and model type in the third. This grouping forms the hierarchical index for the Finder. You can navigate through the panels to pinpoint the exact function for their needs. Functions are located in the fourth panel of the function window. When you select a function, the bottom portion of the window displays a brief description of the function. The reference windows are divided into two tabs: Math References (default) Function References When you select a function, the corresponding math reference is displayed under the Math Reference tab. Alternatively, when you select a function, the corresponding function reference page is displayed under the Function Reference tab. In the Browse for box, you can choose what analytics you want to see, Functions, Workbooks (User or Bloomberg enabled), or Math References Example You want to create a cashflow table for a simple fixed/floating swap using one currency only and two curves (accruing and discounting). 1. Open FINCAD Analytics Suite 2009 for Excel and click FINCAD Analytics Finder. 2. Click Browse for: All. 3. On the first panel, click Interest Rate Derivatives. The second panel populates with the Instrument types grouped under Interest Rate Derivatives. 4. Click Swaps. The third panel populates with all the different types of swaps. 5. Click Vanilla Swaps. The fourth panel displays the functions associated with the Vanilla Swap. In this example, nine functions are listed, aaswap_cf, aaswap_crcont_cf, aaswap_crcont_full_risk, aaswap_crcont_p, aaswap_dgen_cf, aaswap_dgen_p, aaswap_p, aaswap2_cf, and aaswap2_p. When one of the functions listed is selected, a brief description of the function is displayed on the bottom portion of the function window. FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 24 of 98

30 6. Once you determine that the appropriate function to use is aaswap_cf, the Math Reference is displayed in the References window below. You can click on the Function Reference tab to view the input and output details. You can then paste an example, choose which paste option to use, and paste the function, when you click Paste Example on the lower right of the Finder. Note: The Paste Example Options lets you choose outputs from either a single instrument or outputs from a portfolio, if available, for that instrument. You can also choose to see all statistics, tables, and restrictions and notes. FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 25 of 98

31 Searching for Functions The Search tab lets you search for a specific function or type of function without having to navigate through the panels. The Search tab is divided into two windows, the function window and the reference window. When you type keywords in the search box, the function window displays all the functions associated with the key search word. The function window is a list of functions followed by a brief description. When you select a function in the list, the corresponding Math Reference is displayed under the Math Reference tab in the reference window and alternatively, the corresponding function reference page is displayed under the Function Reference tab. Example To see the functions, workbooks, and Math References related to the Black model, type black in the search box and click Search. The related functions, workbooks, and math documents are listed in the function window. An icon is displayed beside each file type: Function Workbook aavol_crv_rcap_bl Bond Options Math document html page European Swaptions (Black Model) FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 26 of 98

32 The Search tab also contains a Search Options button which lets you redefine your search to include other functions or references. This functionality lets you specify which type of search you want to conduct. You can do a search: 1. With all the words this will return results that contain all the words typed in. For example, typing in the words Calibration using Hull White will return items with the words calibration, using, and Hull White (HW). In this example, four calibration workbooks that have all the words typed in are returned by the search when the function is asked to search for functions, workbooks, and math references. 2. With the exact phrase this will return results that contain the exact phrase typed in. For example, typing in the words Calibration using Hull White will result in the message Nothing Found because the search is restricted to the exact phrase. Revising the search by typing in calibration will result in 38 results (functions, workbooks and math documents) that contain the word calibration when the function is asked to search for functions, workbooks, and math references. 3. With at least one of the words this will return results that contain at least one of the words typed in. For example, typing in calibration Hull White will result in over 70 results that contain the word calibration or Hull White when the application is asked to search for Functions, Workbooks, and Math references. The Search Options feature also allows you to specify what type of file you want to search for, i.e. Functions, Workbooks with any, local or Bloomberg data sources, or Math reference documents. You can choose to set all or some of these features as your default so that you will not have to set your options every time you want to do a search for a particular instrument. FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 27 of 98

33 Example You want to search for the phrase Black inside all of the Functions and Workbooks. 1. Type Black in the Search box and click Search Options. 2. Select the Functions checkbox and click OK. All of the Functions that contain the phrase Black are listed in the function window. FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 28 of 98

34 Pasting an Example The Paste Example button creates a sample of the selected function on the underlying spreadsheet. You can find the button on the lower right of the Finder when an available function is selected. Note: If you select a function that you do not have a license for, only the License Info button is displayed. Unavailable functions are displayed with a lock icon beside the function name. An example consists of all the inputs for a function linked to cells that contain a call to the selected function. All inputs that have preset parameter lists are pasted with switches that help change parameter values and also provide a visual reminder of the available parameter settings. For instance, the argument option type would have a switch that allows you to choose whether the option is a call or a put. In the pasted example, white cells are input cells and yellow cells are output cells. To output more than one statistic all at once, click Paste Example Arrow, choose Paste Example Options and select all of the options you want to display. For instance, the function aabsg outputs up to 8 statistics (fair value, delta, gamma, theta, vega, rho of rate, rho of holding cost, probability of exercise). To paste an example that outputs all the statistics of this function, select All statistics. You can also choose to display All output tables, when pasting a function that outputs tables of results (multiple rows and columns for example, cash flows), and Restrictions and Notes. For FINCAD functions with simple inputs (i.e., no table inputs) you can choose to paste the example in Portfolio format. This changes the layout orientation from vertical to horizontal (i.e., transposes it). Note: When you click into a cell that contains the function, i.e., a yellow cell, you can see the function name as well as the inputs (cell reference or actual values) on the formula bar. FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 29 of 98

35 Choice As single instrument As portfolio (when available) All statistics (when available) All output tables Restrictions/Notes Description Output results are for one instrument only Output results are for a group or collection of instruments All of the output results that the function calculates, such as pricing, risk statistics, sensitivities, etc. for functions that produce more than one statistic All tables that are output, such as cashflow, reset table, etc. View all of the restrictions (rules to produce the correct outputs) and explanatory comments for inputs 1 Formula bar 2 Input cells 3 Output cells Pasting an example is a good way for you to learn how to use the functions. FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 30 of 98

36 Calculating Results The functionality of Microsoft Excel applies in calculating results. If the calculation option is set to automatic, the function automatically updates the results whenever an input parameter is modified. If the calculation option is set to manual, press F9 to calculate all open spreadsheets or Shift F9 to calculate the active sheet. You can check your current calculation setting in Options under Tools and selecting Calculation in Excel versions prior to Excel 2007 or, Excel version < 2007 Calculation Options under Formulas in Excel versions for Excel 2007 and later. Excel version 2007 FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 31 of 98

37 Pasting a Function Pasting a function is a more space efficient way of incorporating functions into a spreadsheet. Pasting a function displays the function on the active cell in the spreadsheet with a call to the selected function and variable for all the inputs required. All functions expect inputs in a given order, which is shown in the Function Reference and is also the order in which the arguments in the pasted function are listed. Once you paste the function into the spreadsheet, you simply replace the arguments with links to the appropriate input cells or replace arguments with actual input values i.e., hard wire the inputs (please refer to the section Editing a Function below). When a function is initially pasted to a cell, it will show a #VALUE! error message since the function arguments have to be edited. A standard function call is in this form and is found on the Excel formula bar: =aabsg(price_u,ex,d_exp,d_v,vlt,rate_ann,cost_hldg,option_type,stat,acc_rate,acc_cost_hldg) Editing a Function Using the FINCAD Analytics Suite 2009 for Excel Function Wizard is the recommended way to edit a function call. To edit a function 1. Before starting the Function Wizard, click the cell where the pasted function is located. Select FINCAD Wizard under the FINCAD menu. FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 32 of 98

38 2. You can also click on the cell with the pasted function, right click, and select Function Wizard from the menu. For a more in depth look at the Function Wizard and its features, please refer to the section Function Wizard. FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 33 of 98

39 Linking the Inputs Using the FINCAD Function Wizard, you can link the inputs by cell reference or you can hard wire the inputs. Linking the inputs by cell reference Type in the cell addresses as the inputs to the function arguments. When you reference a cell, the actual value in the cell is used. FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 34 of 98

40 Hard wiring the inputs Input actual values directly into the function argument. This is not the recommended format as errors and / or changes will require a modification to the actual function rather than simply updating the referenced cell. Note: Hard wired dates should be input as a sequential number that represents a particular date. For example, March 16, 2007 should be input as (serial date format). FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 35 of 98

41 Math Reference The Math Reference tab displays the mathematical document that provides the theoretical background on the selected function. Math documents give a brief description of the underlying models and formulas, provide examples, and provide references to books and papers that are relevant sources of information on the topic. If you click on the FINCAD function aaswap_cf, the Swaps math document is displayed in the references window on the FINCAD Analytics Finder. Note: Click View in New Window to display the document in html format in a separate browser. You can also choose your favorite browser. FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 36 of 98

42 Function Reference Click the Function Reference tab to display the Function Reference page for the selected function. They contain a description of what the function does, a list of all the inputs for and outputs from a function, sample values and restrictions on the function inputs, standardized lists related to function inputs and outputs, and special notes related to the function. This page is helpful when you get a #value in your spreadsheet. Note: Click View in New Window to display the page in html format in a separate browser. Help Click Help on the lower right of the Finder to access several links to for documentation and support to assist you in using FINCAD Analytics Suite 2009 for Excel. Favorites Click Favorites in the Browse list to access your most commonly used functions. To save a function into favorites, first browse or search the function you want, then right click on the function and select Add to Favorites from the menu. FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 37 of 98

43 Accessing All functions, Workbooks, and Math References Using the FINCAD Analytics Finder, you can browse through all the functions, workbooks, and Math References in the Browse tab. In the Browse For text box, choose Only Functions, Only Workbooks, or Only Math References. FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 38 of 98

44 Function Wizard The FINCAD Analytics Suite 2009 for Excel Function Wizard is a user friendly interface for working with FINCAD functions. This was developed by FINCAD to overcome limitations of MS Excel s built in Insert Function dialog box. Once you are in a cell with a function, there are several ways to open the Function Wizard: Through the FINCAD menu item or the FINCAD fx button Through the shortcut menu by right clicking the mouse FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 39 of 98

45 Through the Insert menu When you open the Function Wizard before you input values, it displays the data type for each argument. You can then input a cell reference, a range, or hard wired value for each input argument. FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 40 of 98

46 The FINCAD Function Wizard includes the following features: 1 the numerical and word description of the input argument is shown 2 the input value is formatted, e.g. a date is formatted as a date March 1, 2006 instead of a sequence of numbers to represent a date, Indicates if the function output is an array 4 there is bubble help for switch inputs 5 provides links to the Math and Function Reference FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 41 of 98

47 Once you input all the required arguments, click Calculate to display the first three statistics of the formula result. Violated argument restrictions are flagged upon calculating the function. The input that caused the error is highlighted. FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 42 of 98

48 Note that the FINCAD Function Wizard window opens if the cell or range of cells selected contains a FINCAD function. If not, you will be prompted with this message: The selected range does not contain a call to a FINCAD function. Do you want to launch the Analytics Finder? If you press Yes, you will open the FINCAD Analytics Finder while pressing No closes the message box. FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 43 of 98

49 Workbooks FINCAD Analytics Suite 2009 for Excel includes over 200 workbook templates. Each workbook is geared towards providing a solution to generic tasks faced in the industry (e.g.: calculating a forward rate curve). Workbook design involves a combination of FINCAD Analytics Suite 2009 for Excel functions, advanced Excel functionality, and formatting. There are three menu subsections for FINCAD Workbooks: Workbooks Curve Settings Workbooks (including FINCAD Market Data) Workbook Utilities Workbooks Curve Settings You can choose to define which swap curve to use with your workbooks by selecting User Data, Bloomberg Data, or FINCAD Market Data. These curves apply only to workbooks in the Workbook menu that use a swap curve in their valuations. Use the Bloomberg and FINCAD data feeds to provide the specified real time and historical data to the workbooks. Note: You will need to subscribe to the data sources either from FINCAD or Bloomberg to retrieve the data. Each Bloomberg and FINCAD Market Data enabled workbook contains a sheet where the swap curve data is downloaded. The downloaded data is then referenced into the appropriate FINCAD function, typically a function that generates a discount factor curve. You can also manually input market data such as deposit and swap rates to build a discount factor curve. FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 44 of 98

50 Workbooks You can access all workbooks through the FINCAD menu. When you open a workbook, Excel creates a copy of the template file and loads it into the system. The workbook has been saved in such a way that it will open as a copy of the template. However, when saving the file, there is no danger of accidentally overwriting the template. Therefore, you can open multiple copies of the same workbook, and are free to further customize these files and store them under different names for future use. Note: You can use the curve settings to pick one of the curves for the workbooks that contain swap curves. FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 45 of 98

51 Workbooks (FINCAD Market Data) In order to access the market data, you must have a FINCAD Market Data subscription. To become a FINCAD Market Data subscriber, contact FINCAD and you will be sent a user name and password. The FINCAD Market Data prebuilt workbooks let you access historical data such as discount factor curves for various currencies, and price various instruments using this data. To log into FINCAD Market Data for the first time After you purchase FINCAD Market Data, you will receive an with a link to the FINCAD Market Data website where you will need to login and then change your password. 1. In the FINCAD Market Data website, type your User Name and Password in the Login page. A FINCAD Market Data Subscription Agreement is displayed. 2. Select the checkbox at the lower left of the agreement and click Accept. Note: If you choose Reject, you will be automatically logged out of the system. The Edit Password page is displayed. For security purposes, you must change your password before you can access the system. 3. Type your password in the first text box. 4. Type a new password in the second and third text boxes. FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 46 of 98

52 Note: Your new password must have at least 8 characters, have at least 1 uppercase letter, 1 lower case letter, and 1 number. Old passwords cannot be reused. 5. Open FINCAD Analytics 2009 for Excel. 6. Under the FINCAD menu, click FINCAD Market Data Login. 7. Type your user name and password in the FINCAD Market Data Login box and click Login. You now have access to the FINCAD Market Data workbooks and curves. FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 47 of 98

53 Workbooks Bloomberg Data Specific As mentioned above, all workbooks are available with a Bloomberg enabled swap curve. Bloomberg specific workbooks contain additional links to Bloomberg. Examples of additional data are swaption volatilities and CDS spreads. To access a Bloomberg Enabled Workbook 1. Under the FINCAD menu, select Workbooks, then Bloomberg Data Specific. 2. Choose one of the workbooks displayed on the menu, for example Bond Portfolio. FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 48 of 98

54 Workbook Example Typically, a workbook template consists of a calculator or main sheet with a pricing function, a discount factor curve sheet, and a holidays sheet. If applicable, a cash flow table sheet is also included, for example, swap workbooks typically include cash flow tables. Also, other worksheets to calculate various risks and stats may also be included. For example, the Vanilla Interest Rate Swap workbook includes a sheet that calculates Credit Exposure. The functions used in the various worksheets are linked to the discount factor curve and the holiday list. We will look at each section of the workbook by looking at the vanilla interest rate swap workbook, accessible from the FINCAD menu. Under Workbooks, select Swaps, and click Vanilla Interest Rate Swap. We have chosen to use FINCAD Market Data to define the curve. Calculator sheet 1. Enter the specific deal information in the white cells. The color convention of the workbook is consistent with that of pasted examples of functions, i.e. white cells are input cells and calculated outputs are in cells highlighted in yellow. Many of the cells contain comments to help you with your inputs and explain some of the outputs. 2. Click the market price cell of the swap output cell to display the inputs used in calculating the value. Note: A macro in the workbooks automatically sets Microsoft Excel to manual calculation when the workbook is opened. Macros are also used in the workbooks to make it easier for you to calculate and open documents such as the Math Reference documents. These macros are assigned to buttons such as Calculate Sheet and Math Reference found in workbooks. FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 49 of 98

55 Curve sheet This sheet is where the underlying interest rates are entered and transformed into a discount factor curve. The discount factor curve is used in the pricing and cash flow functions to discount cash flows to the present value and also to generate implied forward rates. 1. Enter a value date (this may have already been set on the calculator sheet) and select a curve. 2. Next, click Calculate Sheet. The selected curve is retrieved. Alternatively, pressing F9 or any Calculate All buttons on any sheet will update all values throughout the workbook. Note: You must be logged into FINCAD Market Data to retrieve data. The discount factor curve is then used to calculate the outputs of the pricing function. As a convention, dynamic named ranges are created for the generated discount factor curve. The curve is typically named df_curve. 3. Check the range of cells covered by named ranges under the Insert menu, Name submenu, and select Define. FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 50 of 98

56 4. Select the named range (df_curve in our example). The Refers to text box will populate with the sheet name and the cell addresses of the named range and the cells will be outlined when you click the Refers to text box. To link the curve into the pricing application function, the named range df_curve has been set up as an input to the arguments that require a discount factor curve. FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 51 of 98

57 Holidays sheet Holidays are listed on this sheet. The holiday list that comes with the workbook contains sample dates only and you will need to update the list. The list is typically assigned the name holidays. The list must be sorted in ascending dates. Note: If using FINCAD Market data, this sheet will be automatically populated with data. 1. Select a holiday list. 2. Click Calculate Sheet. Note: You must be logged into FINCAD Market Data to retrieve the holidays data. FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 52 of 98

58 Many of the workbooks contain a sheet with a cash flow table output for FINCAD (_cf) functions. Typically, sheets with the cash flow table draw the inputs required by the corresponding cash flow function from other sheets in the workbook and so do not require further data entry. FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 53 of 98

59 Workbook Utilities FINCAD includes several tools to help you to customize your workbooks easily. Working with Switches A switch is an input argument which lists the available options. Since many FINCAD functions let you choose among multiple items per input, a switch is used to visually display the alternatives. When you paste an example of a function in your spreadsheet, it includes a drop down list box for each switch argument. FINCAD uses aaswitch to represent the function argument of a switch. The function argument aaswitch has two inputs, the switch number, and the cell where the numerical equivalent of the switch description is output. The Function Reference contains information on the switch number for arguments that use switches. It also lists the numerical and word description of the arguments available on the switch. Example On the pasted example aabsg, the function argument aaswitch for option type makes use of switch list 17, and that the numerical description of the arguments available on the switch is displayed in cell B9. Fx = aaswitch(17,$b$9) FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 54 of 98

60 You can find the switch number for each argument that uses a switch list on the Function Reference under the column Type. Arguments that have a type which starts with sa_ (switch for statistic) or sw_ (switch for input arguments) are switches. You can view a complete list of all the switches from the document Switch Definitions on the FINCAD menu under Documentation. The utilities Show Switch List and Paste Switch Control are especially useful when you are developing a spreadsheet using pasted functions and not pasted examples. FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 55 of 98

61 To choose a switch from the show switch list This displays a list of switch alternatives for you to choose from Example You have pasted the function aabsg on the spreadsheet and have listed and referenced all of the input arguments. You now want to see the list of accrual methods available for this argument. You have determined from the Function Reference that the switch number for accrual method is 2 and the numerical value of the argument is found on cell B In cell C11, type =aaswitch(2, B11). 2. To show the switch list, in the FINCAD menu, under Workbook Utilities, click Show Switch List. A pop up window with the available accrual methods opens. 3. Select the accrual method you prefer, e.g. 30/360 (ISDA) The corresponding numerical value of the selected accrual method will be displayed in cell B11. In this example, the value of the accrual method 30/360 (ISDA) will correspond to 4. FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 56 of 98

62 To paste a switch control This pastes a drop down control into your worksheet. Example Continuing from the above example, to paste the switch control on cell C11 in the FINCAD menu, under Workbook Utilities, click Paste Switch Control. The switch control for the accrual method is pasted. To delete a switch Click the cell where the switch is, right click on the mouse, and click Cut. The switch is now deleted. Note: The Show Switch List and Paste Switch Control only work when you select a cell that contains the FINCAD Analytics Suite 2009 for Excel function aaswitch, e.g. aaswitch(2, B11). FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 57 of 98

63 Remove Formatting This utility feature removes all background colors, borders, and switches 1. Select an area of a workbook. 2. Under the FINCAD menu, select Workbook Utilities, then click Remove Formatting. All formatting is removed. FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 58 of 98

64 Perform Sensitivity Analysis You can perform sensitivity analysis when you vary your inputs and observe how the outputs change. Inputs analysis with: For a one variable change, you will see how a set of outputs changes as the input varies. For a two variable analysis, you will see how a single output changes as the two variables change. input cell: An input cell must be a valid cell reference to a single cell or a valid named range referencing a single cell. description: A description of the input cell that is used as a heading in the output table and as an axis title in a graph. A cell description must be a string, a valid cell reference to a single cell, or a valid named range referencing a single cell or a string. minimum: This specifies the minimum value of the input cell and it must be a valid number. maximum: This specifies the maximum value of the input cell and it must be a valid number greater than the minimum. increment style: This is a switch to determine how the minimum value increases to reach the maximum value, either increased by a specific value or increased by a percentage of a value. increment by: This is the value that applies to the minimum to reach the maximum. Increment by must be greater than zero. output cell(s): You can choose which output cell or cells that you want to view the results for. The output cells must be on the same worksheet as the input cell or cells. In a one variable analysis, this must be a valid cell reference in a single row or column or a valid named rage referencing a single row or column. In a two variable analysis, this must be a valid single cell reference or a valid named range referencing a single cell. FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 59 of 98

65 description(s): A description of the output cell or cells and must match the number of output cells. For a one variable analysis, this must be a string, or a valid cell reference in a single row or column, or a valid named range referencing a single row or column. In a two variable analysis, this must be a string or a valid single cell reference, or a valid named range referencing a single cell or a string. place result at: This is where the table will output and must be a valid single cell reference or a valid named range referencing a single cell. display graph(s): Select the checkbox if you want to display a graphical result. Results For a one variable analysis, the graphs are displayed to the right of the output table. The graphs are listed vertically and each graph depicts the relationship between the input and one of the outputs. For a two variable analysis, the graphs are displayed below the output table. You can modify the starting value of the input series by editing the white cells in the result table. Note: Input cells, output cells, and results must be on the same worksheet. To perform a sensitivity analysis 1. Paste an example of a FINCAD function, for example, aabsg. 2. Under the FINCAD menu, click Workbook Utilities, then Perform Sensitivity Analysis. The Sensitivity Analysis dialog box is displayed. 3. Click in the input cell text box, then select the input cell, for example on sheet 1, cell B2. 4. Click in the description text box, then select the description of the input cell that corresponds to the input cell, for example on sheet 1, cell A2 5. Type in a minimum value for the input cell, for example Type in a maximum value for the input cell, for example Choose an increment style, for example relative. 8. Type in a value for the increment (%), for example Click in the output cells text box and select the output cell or cells, for example on sheet 1, cells B14:B Click in the descriptions text box and select the out cell or cells description that corresponds to the output cells, for example on sheet 1, cells A14:A Select the cells where you want the output table to display on the sheet, for example A Select the checkbox to display graphs. 13. Click OK The output table is displayed starting from A25 and the graph is displayed to the right of the output table. FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 60 of 98

66 . FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 61 of 98

67 Generate Cash flow Report You can prepare a cash flow report from the Cash Flow Tables sheet without displaying the formulas in the formula bar. Only the values are displayed. This feature is useful particularly for historical cash flow retrieval without having to recalculate the workbook and also if you want to present a report of upcoming cash flows or payments. Also using a different file type, for example,.csv, you can export the cash flow data into another application. You can extract all of the data or specify a data range. You can save the cash flow table as one of the following file types: Web Page (*.htm) Text (*.txt) Comma Delimited (*.csv) Excel 2003 Workbook (*.xls) Excel 2003 Template (*.xlt) For Excel versions 2007 and later, you can save the report in these additional file types: Excel Workbook (*.xlsx) Excel Macro Enable Workbook (*.xlsm) Excel Binary Workbook(*.xlsb) Excel Template (*.xltx) Excel Macro Enabled Template (*.xltm) To generate a cash flow report 1. Open your workbook (for example under Workbooks, select Swaps, and click Vanilla Interest Rate Swaps) and calculate your results using your input data. 2. Open the Cash Flow Tables worksheet. 3. Under the FINCAD menu, click Workbook Utilities, then Generate Cashflow Report, or right click in the sheet and choose Cashflow Report. The Cashflow Report dialog box is displayed. FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 62 of 98

68 4. Select: All, if you want all of the cash flow dates in the report, or From, if you want specific dates in the report. You will need to complete the date text boxes. 5. Select: New worksheet, if you want the report to be displayed in the same file on another sheet and click OK, or File, if you want to save the file to a different location and click OK. The Save As dialog box is displayed. Choose a location and file type and click Save. 6. Finally, select the Include column headers check box if you want labels to be displayed in your report. FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 63 of 98

69 Documents You can access the Math and Function References as well as other valuable documents such as the first time user guide through Documentation under the FINCAD menu. FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 64 of 98

70 Function Reference When you click Function References under Documentation, you open a categorical list of FINCAD Analytics Suite 2009 for Excel s Function Reference indexed by instrument type. The Function References here are exactly the same documents that you can open through the FINCAD Analytics Finder. There are also additional documents including switch and table lists, a financial glossary, and a document called About FINCAD Functions which summarizes types of functions,, naming conventions, data types used in the functions, error conditions, and looks at an example of a FINCAD function. FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 65 of 98

71 Math Reference Click Math Reference to display a list of all the math documents that are included in FINCAD Analytics Suite 2009 for Excel indexed by instrument type. These are also the same documents that that you can open through the FINCAD Analytics Finder. FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 66 of 98

72 First time user Selecting First time User opens a brief tutorial on what you can do with FINCAD Analytics Suite 2009 for Excel and how to work with it. FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 67 of 98

73 Feedback FINCAD welcomes and encourages feedback from you. Click Provide Feedback on the FINCAD menu to contact FINCAD with your questions and feedback. FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 68 of 98

74 Support Resources Click Support Resources to choose a link to our Support webpages where you can access various help documentation such as Math and Function References, Frequently Asked Questions, and Function Release Notes among others. You can also send us your questions and feedback about the product. FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 69 of 98

75 Function Error Handling The Function Error Handling menu lets you turn on (or off) error handling and validate your inputs when error handling is enabled. Disable or Enable Error Handling This lets you disable or enable error handling. The default setting is that the error handling is enabled. Click to either enable or disable. Note: If the error handling is disabled, you cannot use the Validate Inputs feature, which specifies the input argument that is causing the #VALUE! error message. FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 70 of 98

76 Validate Inputs Given a correct set of input arguments, a function will calculate and return results. However, if some input data is incorrect or the calculation could not be performed due to a particular combination of input values, an error condition will arise, i.e., #VALUE! error message. To use the validate inputs feature 1. Go to the cell with the function, i.e., the highlighted yellow cell on a pasted function 2. Select Validate Inputs under Function Error Handling in the FINCAD menu. 3. You can also right click on the mouse after selecting a cell with the function and select Validate Inputs. FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 71 of 98

77 Once selected, the Validate Inputs feature identifies the input arguments that are causing the error condition by providing a message and highlighting the particular cell with the suspected argument. For the function to output properly, you will need to edit the argument causing the error. When a correct set of arguments are input and the validate inputs feature is selected, it will give a Validation OK message. Note: Currently, the Validate Inputs feature does not handle nested function calls, i.e., functions embedded within other functions. To work around this, go to the formula to try to separate some of the nested functions and then individually validate them. Start with the functions that are embedded within the larger FINCAD function and step through each set of functions. FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 72 of 98

78 Common Causes of #VALUE! Error Message Given a correct set of input arguments, a function will calculate and return results. However, if some input data is incorrect or the calculation could not be performed due to a particular combination of input values, an error condition will arise. Input Errors Restrictions may apply to the values of some input arguments (both single valued or arrays). For example 'cpn' must be greater than zero (>0). If an argument value violates a restriction, the FINCAD function will not calculate and will return the error code #VALUE! to the cell or cells containing the function. The restrictions most often violated are: value date must be equal to the first date in the discount factor curve; termination date must fall on or before the last date in the discount factor curve; each cash flow date must fall before the last date in the corresponding discount factor curve. Calculation Errors The calculation may also fail due to some condition in input data (and return #VALUE!). For example, input yield may be too large for the function to handle. This is a more difficult problem to resolve as it involves systematically checking all input data and running the function with different values until results can be calculated. Runtime Errors If a runtime error occurs while calculating a FINCAD function, isolate the problem in an example and report the problem to FINCAD for correction as this may indicate a defective function. If you still cannot solve the #VALUE, please your question and spreadsheet to support@fincad.com. Note: A valid subscription is required to access the Client Services team. Please contact your account manager for more information on the status of your support subscription. FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 73 of 98

79 Check for Updates Periodically, FINCAD releases new versions and maintenance versions of its software. Select Check for Updates under the FINCAD menu to check whether the FINCAD Analytics Suite 2009 for Excel version you are using is the latest one. FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 74 of 98

80 About Select About to open a window that provides information on the FINCAD Analytics Suite for Excel version you are using and the status of your license. You can also access the License Manager, License Agreement, and contact FINCAD from this window. FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 75 of 98

81 Exit Select Exit to close FINCAD Analytics Suite 2009 for Excel. FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 76 of 98

82 FINCAD Jargon Naming Conventions Each FINCAD function name is made up of three parts: a Prefix, a Root Word, and a Suffix. aabond_p Prefix Root Word Suffix Prefix All function names begin with the prefix aa to be easily recognizable and to ensure that they appear at the top of the function list. Root Words The root word describes the type of instrument, model, transaction or primary use of the function. Examples BIN: binomial tree model Cox Rubinstein Bond: Bond instrument Spot: Spot price or rate for an instrument Shortrate: Infinitesimal short rate calculations VaR: Value at Risk Suffixes Suffixes describe the kind of calculated result to expect from the function or provide a hint about the context of use. Examples _p: Pricing function: returns fair value and other relevant statistics depending on the instrument _cf: Cashflow function: returns various table outputs such as payments, reset rates, etc _dgen: date generation function: flexible function that allows for amortization schedules and various coupon payment types _fs: freestyle function: allows for extremely flexible table inputs (amortizations, varying coupons). Has greater flexibility than _dgen functions because you have complete control of the coupon and notional schedule. Therefore, you also have to adjust business days manually. _iv: implied volatility function: calculates the implied volatility given a price _ix: implied x function: can calculate any input given all other inputs. For example, with an option you can use it to calculate strike, given price, and volatility. FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 77 of 98

83 Using Excel Functionality This section is designed to provide an introduction to the following Excel functionality that will make it easier for you to work with FINCAD Analytics Suite 2009 for Excel: Calculating Arrays Using Named Ranges Using Absolute and Relative Cell References Goal Seek Excel Function Wizard FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 78 of 98

84 Calculating Arrays Arrays can be used to calculate a number of values in a single formula or to expand tables. For example, in FINCAD Analytics Suite 2009 for Excel, arrays are used to output all or several statistics of a function at once. Arrays are also used to generate cash flow tables. To calculate All Statistics using arrays For FINCAD functions that output more than one statistic, you can output all or several of the statistics at once. For example, the function that values European style options using the Black Scholes Generalized model, aabsg, outputs up to eight (8) statistics (fair value, delta, gamma, theta, vega, rho of rate, rho of holding cost, probability of exercise). To paste an example that outputs all the statistics of this function, highlight the function in FINCAD Analytics Finder, click Paste Example, then Paste Example Options, and select All statistics. FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 79 of 98

85 Once you select All statistics, you can paste an example. The function displays all the statistics output by the function. FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 80 of 98

86 To calculate selected statistics using arrays Alternatively, you can create an array and select the statistics that you want the function to output. Again use the pasted example of the function aabsg as an example. On the FINCAD Analytics Finder, highlight aabsg and click Paste Example. The pasted example will output fair value. Aside from the fair value, you want to output these three stats: delta, gamma, and the probability of exercise. 1. You first need to determine what the numerical values of these stats are. You can find this information in the Function Reference. When you open the Function Reference, it lists stats that the function outputs in the Returns section and gives a numerical value and a corresponding word description of each. FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 81 of 98

87 2. Once you determine that the stats values for fair value, delta, gamma, and probability of exercise are 1, 2, 3, and 8 respectively, type those on a blank section of the spreadsheet (C14:C17 in the example). You can enter the numbers in a different order such as 1,8,3,2 to return the statistics in a different order. 3. Select the cell which contains the formula =aabsg( ) (B14 in the example). Open the function wizard. In the function wizard, go to the argument stat and change the reference input to C14:C17 and click OK. FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 82 of 98

88 4. Select the cells that contain the formula plus cells that you want to output the stats to (B14:B17). Once the cells are selected, click anywhere in the formula bar. 5. Once the cursor is in the formula bar, click the CTRL+SHIFT+ENTER keys at the same time. Doing this will generate an array in the highlighted cells for the statistical outputs in cells C14:C To label the results, you can utilize the aaswitch function and enter the new reference points. This enables the function to generate the word descriptions of the referenced stat value. FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 83 of 98

89 7. In our example, go to the cell with the label fair value (cell A14). On the formula bar, replace the reference cell $B$10 with C14 and press Enter. 8. Select the right bottom corner square marker for cell A14 and drag it down from cell A14 to A17 to copy its contents across these cells while automatically updating relative cell references in the function aaswitch, i.e., copying the function =aaswitch from cells A14 to A17 changes the reference to the second input argument from C14 to C17 as well. FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 84 of 98

90 9. If the Excel Calculate Option is set to Automatic, then the function aaswitch automatically returns the values fair value, delta, gamma, and probability of exercise. If the calculation setting is set to Manual, press F9 or Shift F9 for the labels to update. FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 85 of 98

91 To extend cash flow tables using arrays In FINCAD Analytics Suite 2009 for Excel, arrays are also used to display cash flow and other tables. 1. Highlight the whole cash flow table and continue to extend this to highlight the new row or columns you want to add to the table. FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 86 of 98

92 2. Click anywhere on the formula bar and press CTRL+SHIFT+ ENTER at the same time. The table is now extended. FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 87 of 98

93 To format an extended cash flow table 1. Click on the row with the format that you want to apply to the extended cash flows 2. Click Format Painter 3. Highlight the cells that you want to format. Note: When the array area exceeds the actual results output by the function, a #NA message appears on the cells that contain the array but no longer have calculated results. FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 88 of 98

94 Creating Named Ranges Another useful Excel feature is named ranges. The name definition function lets you assign a name to a selected range of cells. This name can then be used in FINCAD Analytics Suite 2009 for Excel function formulas. For example, let s say you created a holiday list that you will use as an input to a FINCAD function. Rather than entering the cells referencing the holiday list directly into the function, you can create a name for the range of dates on the list and enter the name defining the holiday list instead. There are two sections in Excel where you can create a name definition: in the Name Box or on the Insert menu, under the Name submenu, then Define. To create a named range using the Name Box 1. Select the cell or range of cells that you want to name. 2. In the Name Box, type in the name you want to assign to the selected cells and press Enter. Example You have a holiday list that you want to name as holidays. 1. Select the range of cells that you want to name. 2. In the Name Box, type holidays and press enter. FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 89 of 98

95 To create a named range using the Define command 1. Select the cell or range of cells that you want to name. 2. Under the Insert menu in Excel, select Name, then Define. 3. Type in the name you want to assign in the Names in workbook text box for example holidays. 4. Click OK. In the above example, the named range created only includes ten sets of holiday dates. If you have a list that contains data that expands or contracts, you would have to manually re reference the range of cells defined in the named range. Rather than re referencing the range of cells defined in the named range, you can create a dynamic named range that automatically re references the defined range of cells. FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 90 of 98

96 To create dynamic named ranges Dynamic named ranges automatically revise the defined name and will reference cells that have values within the defined range. In FINCAD Analytics Suite 2009 for Excel, this functionality is used in defining the discount factor curve and holiday list found in the workbooks. To create a dynamic named range, the Excel OFFSET and COUNT functions are used. 1. Under the Insert menu in Excel, select Name, then Define. 2. Type in the name you want to assign in the Names in workbook text box for example holidays. 3. In the Refers to text box, type in the formula =OFFSET($A$1,0,0,COUNT($A$1:$A$200),1). 4. Click Add to define the named range. The actual cells covered by the named range will be highlighted when you click into the Refers to box. In the example, cells A1:A10 are highlighted since these are the cells that contain values. Click OK. As defined in Microsoft Excel Help, the OFFSET function returns a reference to a range that is a specified number of rows and columns from a cell or range of cells. The reference that is returned can be a single cell or a range of cells and you can specify the number of rows and the number of columns to be returned. It has the syntax OFFSET (reference, rows, columns, height, width). Reference is the reference from which you want to base the offset. Reference must refer to a cell or range of adjacent cells. In the formula, we set the reference to $A$1. Rows is the number of rows, up or down that you want the upper left cell to refer to. In the formula, we set the rows to zero since we want the name range to start from the reference cell $A$1. Columns is the number of columns to the left or right that you want the upper left cell of the result to refer to. In the formula, we set the columns to zero since we want the named range to start from the reference cell $A$1. Height is the height, in number of rows that you want the returned reference to be. In the formula, we used the Excel function COUNT to count the number of cells that contain values in the range A1:A200. The syntax of this function is COUNT(value1, value2 ) Width is the width, in number of columns that you want the returned reference to be. Since we are only looking at one column, we input 1 in the formula. FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 91 of 98

97 Suppose that in our example, we added holiday dates to our current list to include dates up to December 31, The dynamic named range will automatically include these additional cells. To check this, Under the Insert menu in Excel, select Name, then Define, select the name holidays, and then click the Refers to box. The actual range of cells defined by the name holidays will be highlighted. In this example, the range of cells automatically expanded from cells A1:A10 to A1:A30. FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 92 of 98

98 Using Relative and Absolute Cell References Relative Cell References Relative cell references work in this manner: when you copy a formula from one place in the worksheet to another, Excel adjusts the cell references in the formulas relative to their new position in the worksheet. Example Copying the function aaasian from cells B15 to C15 changes the reference to the input arguments from =aaasian(b2,b3,b4,b5,b6,b7,b8,b9,b10,b11,b12,b13) to =aaasian(c2,c3,c4,c5,c6,c7,c8,c9,c10,c11,c12,c13) FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 93 of 98

99 Absolute Cell References Absolute cell reference on the other hand, is a cell reference in a formula that does not change when copied to a new location. To make a cell or a range absolute, you add a string ($) before the letter and number that make up the cell address. You can type the $ sign yourself or you can press F4 after typing the cell address. Example You are creating a spreadsheet for a portfolio of options. You want to use relative references for the input arguments required by the function so that when you copy the formula down each row, it will adjust the cell reference in the formula relative to their new position in the worksheet. However, you want the function to always reference the value date input in cell B1. You can do this by making this cell address absolute. FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 94 of 98

100 Goal Seek The Goal Seek function can be used if you know what the result of a formula should be but not what a specific input value is for the formula to determine the result. Under Tools in the Excel menu, click Goal Seek. The Goal Seek function asks you to specify the cell you want to change (this is the cell with the formula), the value you want to obtain, and the input cell that should change to get the new value. FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 95 of 98

101 Example You know that a European style call option is quoted in the market for $0.50, but you want to know the annually compounding rate used to determine the option value. Use Goal Seek to determine the rate by setting cell B14 to value.50 by changing cell B7 (the cell with the argument for rate). 1. Click OK to run Goal Seek. 2. Once it finds a solution, click OK on the Goal Seek Status window to accept the solution. Goal Seek updates your worksheet with the correct values. FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 96 of 98

102 Excel Function Wizard The Excel function wizard can be used as an alternative to the FINCAD Function Wizard. Since the FINCAD Function Wizard was designed to make it easier for you to work with FINCAD functions, we recommend that you use the Excel function Wizard for nested functions. To open the Excel wizard, click on the cell that contains the formula and double click on the fx sign (equal sign (=) in some Excel versions) in the formula bar. Similar to the FINCAD Function Wizard, use the Excel function wizard to edit the function arguments by linking the inputs by cell reference or by inputting the actual values directly into the function arguments. FINCAD ANALYTICS SUITE 2009 FOR EXCEL User Guide Copyright 2009 Page 97 of 98