FINCAD ANALYTICS SUITE 2016 FOR EXCEL. Date: October 2015

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2 FINCAD ANALYTICS SUITE 2016 FOR EXCEL Date: October 2015

3 Disclaimer 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 an 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 FinancialCAD Corporation. All rights reserved. Trademarks FinancialCAD and FINCAD are registered trademarks of FinancialCAD Corporation. Other trademarks are the property of their respective holders. FINCAD makes no warranties, express or implied, in this summary. Patents Protected by U.S. Patent No 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 2016 FOR EXCEL

4 Contents Overview... 1 Asset Class & Instrument Coverage Offered... 2 Models and Methods Offered... 4 System Requirements... 5 Getting Started... 6 Installing FINCAD Analytics Suite 2016 for Excel... 6 Starting FINCAD... 8 Desktop icon / Shortcut in Start Menu... 8 Add-In Menu Alternative... 9 Using License Manager Activating your FINCAD License as a Single Installation Activating your FINCAD License as a Concurrent Installation FINCAD Command-Line License Manager (FCCLM) FCCLM Usage Examples Default FCCLM Configuration File Contents (fcclm.config) FINCAD Functions Types of FINCAD Functions fc versus aa functions FINCAD Jargon Naming Conventions FINCAD Analytics Suite 2016 for Excel Ribbon Overview FINCAD Analytics Finder 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 Index Browsing for Functions Opening an Example Function Wizard fc Function Macros Workbooks Workbooks Curve Settings i

5 Workbooks Workbooks Bloomberg Finance LP Data Specific Workbook Example Workbook Utilities Working with Switches Remove Formatting Perform Sensitivity Analysis Generate Cash flow Report Documentation Feedback Support Resources Function Error Handling Disable or Enable Error Handling Validate Inputs Common Causes of #VALUE! Error Message Check for Updates About Using Excel Functionality 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 2016 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 many 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 request to download the entire application for 7 days from FINCAD analytics, a core part of FINCAD Analytics Suite 2016 for Excel, are used by over 35,000 business users in over 80 countries. FINCAD Analytics Suite 2016 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 2016 FOR EXCEL Page 1 of 100 FinancialCAD Corporation

7 Asset Class & Instrument Coverage Offered Interest Rate Derivatives accrual swaps asset swaps average rate caps, floors, swaptions basis swaps, swaptions CMS vanilla swaps, swaptions cross currency swaps, swaptions digital caps / floors term structure calibration European / Bermudan / American swaptions in-arrears swaps BMA / tax-exempt swaps, swaptions, caps OIS / EONIA Swaps percentage of LIBOR swaps, swaptions 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 bond portfolios callable bonds & OAS cash flow calculations 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, swaps 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 2016 FOR EXCEL Page 2 of 100 FinancialCAD Corporation

8 Options American, Asian, Bermudan, European average strike barrier (double & single) basket binary binary (single barrier) binary spread chooser cliquets compound deferred strike (forward start) double average employee stock options forward start options forwards and futures freight local volatility (American, European exercise) lookback multi-asset power & quotient 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 forwards and futures swaps and swaptions employee stock options vanilla options exotic options such as baskets, options including Asian index options total return swaps 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 and inflation curves supports live data feeds that work with Excel, (examples: Bloomberg Finance LP, Reuters ) See individual instrument sheets for further details. FINCAD ANALYTICS SUITE 2016 FOR EXCEL Page 3 of 100 FinancialCAD Corporation

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 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 2016 FOR EXCEL Page 4 of 100 FinancialCAD Corporation

10 System Requirements Free hard drive space: Memory: Processor: Operating System: 800 MB (minimum) 2 GB of RAM (minimum) Intel Dual Core i3 or equivalent (minimum) Microsoft Windows 8/8.1 (64 bit) Microsoft Windows 7 Professional or Ultimate Service Pack 1 (32/64 bit) Others: Microsoft Excel 2013 (32/64 bit) Microsoft Excel 2010 (32/64 bit) Microsoft Excel 2007 Service Pack 2 Microsoft.NET Framework 2.0 or later Browser: Microsoft Internet Explorer 10 or later FINCAD ANALYTICS SUITE 2016 FOR EXCEL Page 5 of 100 FinancialCAD Corporation

11 Getting Started Installing FINCAD Analytics Suite 2016 for Excel FINCAD Analytics Suite 2016 for Excel can be downloaded from or installed from a CD. It is available in both 32-bit and 64-bit versions; there is a separate installer for each one. Note: Some utilities are only available in the 32-bit version of FINCAD Analytics Suite 2016 for Excel. 1. To request a trial or purchase the product, click on the FINCAD Analytics Suite 2016 for Excel logo. You can also contact FINCAD directly by telephone ( ) or by (sales@fincad.com). 2. Complete the Evaluate FINCAD Solutions form. You will be contacted by FINCAD and will be sent a confirmation . Once you receive the , you can download and install FINCAD Analytics Suite 2016 for Excel. Note: When choosing an installer to download, use the one that matches the bitness of your Microsoft Excel software, and not of Windows. 3. You are prompted to run the application or to save it. If you click Run, the program downloads and automatically opens the installation wizard. Follow the set-up instructions to install. If you click Save, the Save As dialog box is displayed. The default setting is to save to the Desktop. Run the installer and follow the set-up instructions. 4. Read and accept the license agreement. FINCAD ANALYTICS SUITE 2016 FOR EXCEL Page 6 of 100 FinancialCAD Corporation

12 5. The default installation directory is displayed. To select a different directory, click Change, and then browse for a different location. 6. Click Next to install the program, and click Finish when the installation is completed. FINCAD ANALYTICS SUITE 2016 FOR EXCEL Page 7 of 100 FinancialCAD Corporation

13 Starting FINCAD You can start FINCAD Analytics Suite 2016 for Excel using shortcut methods or within Microsoft Excel itself. Desktop icon / Shortcut in Start Menu When FINCAD Analytics Suite 2016 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 2016 for Excel: by double clicking on the desktop icon or by clicking Start > All Programs > FINCAD > FINCAD Analytics Suite 2016 for Excel. FINCAD ANALYTICS SUITE 2016 FOR EXCEL Page 8 of 100 FinancialCAD Corporation

14 Add-In Menu Alternative FINCAD Analytics Suite 2016 for Excel can load every time you start Microsoft Excel. 1. Open Excel and choose File > Options > Add-Ins. 2. A list of Excel Add-Ins is displayed. In the Manage box, choose Excel Add-ins, then click Go. 3. In the add-in menu select Browse. Then browse to C:\Program Files\FINCAD\Suite 2016 for Excel. (or the directory where you have installed FINCAD Analytics Suite 2016 for Excel). 4. Select the file FINCADforExcel2007.xlam. Do not select any of the other.xla or.xll files. FINCAD ANALYTICS SUITE 2016 FOR EXCEL Page 9 of 100 FinancialCAD Corporation

15 5. Once you add FINCAD Analytics Suite 2016 for Excel to the list of available add-ins, click OK. FINCAD Analytics Suite 2016 for Excel will now load every time you start Microsoft Excel. FINCAD ANALYTICS SUITE 2016 FOR EXCEL Page 10 of 100 FinancialCAD Corporation

16 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. You can also use the FINCAD Command-Line License Manager (FCCLM) which is a tool that allows you to activate a license via a command line for all platforms that FINCAD supports. The FINCAD Licensing System supports the following license types: Single installation Concurrent In the first case, the license file is placed on a computer and only applications on that computer can use it, i.e., a Single Installation license does not allow running FINCAD Analytics Suite for Excel via Remote Desktop or on a Virtual Machine. In the second case, the licenses are controlled by a licensing service, which distributes licenses to other computers. Concurrent licenses allow running FINCAD Analytics Suite for Excel via remote Desktop or on a Virtual Machine. 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 After you request a trial for FINCAD Analytics Suite 2016 for Excel, FINCAD will send you a confirmation message that includes a license key that lets you access the product. Important The trial begins immediately once you receive the access key. 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 2016 FOR EXCEL Page 11 of 100 FinancialCAD Corporation

17 Activating your FINCAD License as a Single Installation 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 2016 for Excel and select License Manager from the menu. The License Manager dialog box is displayed. Click Next. 3. Paste the contents into the text box as displayed below. Click Next. FINCAD ANALYTICS SUITE 2016 FOR EXCEL Page 12 of 100 FinancialCAD Corporation

18 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. 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. FINCAD ANALYTICS SUITE 2016 FOR EXCEL Page 13 of 100 FinancialCAD Corporation

19 a. On the Activate Your License Manually dialog box, click Copy hardware ID and contact FINCAD with this number. Click Next. 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. FINCAD ANALYTICS SUITE 2016 FOR EXCEL Page 14 of 100 FinancialCAD Corporation

20 A confirmation dialog box is displayed. 4. Finally, click Finish to successfully activate your FINCAD Analytics Suite 2016 for Excel license. Activating your FINCAD License as a Concurrent Installation Concurrent licenses are controlled by a remote licensing service. You need to get the host name and network port for the licensing service from your system administrator. 1. Open the FINCAD License Manager to connect to the FINCAD Licensing Service. The FINCAD License Manager dialog box is displayed. Click Next. FINCAD ANALYTICS SUITE 2016 FOR EXCEL Page 15 of 100 FinancialCAD Corporation

21 2. Copy and past the information that your system adminstrator provides into the text box. 3. A green checkbox appears. Click Next. If the green checkbox does not appear, contact your system administrator for help. 4. Finally, click Finish. FINCAD ANALYTICS SUITE 2016 FOR EXCEL Page 16 of 100 FinancialCAD Corporation

22 To deactivate your license on your machine Note: License deactivation is only available in the 32-bit version of FINCAD Analytics Suite 2016 for Excel. If you are using the 64-bit version, you can deactivate your license by using the FCCLM tool. For more information, see FINCAD Command-Line License Manager (FCCLM). 1. Open the License Manager from the FINCAD ribbon and follow the instructions on the dialog boxes. 2. A dialog box displays the deactivation code. 3. Copy or print the Deactivation Code and click Next. FINCAD ANALYTICS SUITE 2016 FOR EXCEL Page 17 of 100 FinancialCAD Corporation

23 4. On the next Deactivate License box, click on the FINCAD Customer Support Center link to complete the deactivation and follow the procedures described in the FINCAD license deactivation guide provided in the Support Center. Have your PSN ready as well as your deactivation code as they are both needed to deactivate your license. 5. After you complete the deactivation, follow the Activation procedure described in the previous section to reactivate your license. FINCAD ANALYTICS SUITE 2016 FOR EXCEL Page 18 of 100 FinancialCAD Corporation

24 FINCAD Command-Line License Manager (FCCLM) You can also use the FINCAD Command-Line License Manager (FCCLM) which is a tool that allows you to activate a license via a command line for all platforms that FINCAD supports. Its primary use is to license the product on non-windows machines; however, you can use the tool to license the product on the windows platform. In addition, FCCLM can also be used to activate a concurrent license on the client and server side. FCCLM includes a configuration file (fcclm.config) that lets you store some command default arguments which are used each time you call a sub-command so it minimizes typing in all required arguments. However, if you supply the arguments when you make the call, then those values will be used instead. Create an empty file call "deactivated.dat" in the target folder and make sure this file has read and write permissions for all/group users. Note: For the Windows platform only, FCCLM is a 32 bit tool; therefore, if you want to run it under a 64 bit environment, you must install the 32 bit libraries required to run 32 bit applications on the machine. FCCLM Usage fcclm <subcommand> [options] Examples PSN Activation Note Server side activation Multiple activations of the same product are allowed. No activation is allowed for a single installation PSN. Single Installation license activation for FINCAD Analytics Suite for Excel on the client side: fcclm activate -s "289E DM YK5S 6HJA M0YB" -m all -p suite_for_excel -v all -i "John" -l "Doe" -e j_doe@fincad.com -g client -k excel Concurrent license activation for FINCAD Analytics Suite for Excel on the server side: fcclm activate -s "289E DM YK5S 6HJA CURR" -m all -p suite_for_excel -v all -i "John" -l "Doe" -e j_doe@fincad.com -g server -k excel Note The v option is set to all in the examples shown above. This is used for one term unlocks all license activation which is supported by FINCAD Analytics Suite product versions and later. Concurrent license activation for FINCAD Analytics Suite for Excel on the client side fcclm activate j 5053@server-host-name FINCAD ANALYTICS SUITE 2016 FOR EXCEL Page 19 of 100 FinancialCAD Corporation

25 where server-host-name is the host name of the machine where the license service resides. Manual Activation Single Install license activation for FINCAD Analytics Suite for Excel on the client side fcclm activate -f fincad_license.lic" -d "c:\temp" -g client -k excel Note: You will need to supply FINCAD with a machine code. To get the machine code, enter fcclm machine-specific-info. Once a machine is licensed, you can query the license information by running the following command: fcclm license-info --product suite_for_excel -k excel At any time you can get help by typing fcclm - Displays usage, version, and to get a list of available subcommands fcclm <subcommand> --help To get help on a specific subcommand Deactivation of all modules in the product Deactivation only applies to a single installation license for the FINCAD Analytics Suite for Excel product. fcclm deactivate -p "suite_for_excel" -v "all" -m "all" -g client -k excel Note: License deactivation is not permitted on the server side. FINCAD ANALYTICS SUITE 2016 FOR EXCEL Page 20 of 100 FinancialCAD Corporation

26 Default FCCLM Configuration File Contents (fcclm.config) Important You will need to edit the configuration file before using it because the specified default values may not apply to the target machine environment. You must assign a value to all fields. Also, all fields within the file must not be removed; otherwise the tool will generate an error reading the configuration file. This configuration file is used by the FCCLM tool for activating a FINCAD license. Removing any keys/variables in this file will corrupt the file; therefore, the FCCLM tool will fail to work properly. Change the values of the keys if necessary. Note: The values set here will be used if you do not change them when making the FCCLM sub-commands calls. Please contact your service provider should you have any questions regarding this file or FCCLM tool. Product id Do not change this field unless it is directed by your service provider. product=suite_for_excel Product version Do not change this field unless it is directed by your service provider. version=2016 Customer's first name first-name=john Customer's last name last-name=doe Customer's phone number phone= Customer's address =john.d@abc.com license service mode Do not change this field unless it is directed by your service provider. license-service=reprise FINCAD license web service Do not change this field unless it is directed by your service provider. webservice= FINCAD ANALYTICS SUITE 2016 FOR EXCEL Page 21 of 100 FinancialCAD Corporation

27 license source folder Where intermediate files will be stored. Ensure the given folder has proper permissions for read and write. license-source=. license target folder Where the license files will be stored. Ensure the given folder has proper permissions for read and write. Do not change this value unless it is necessary. Example: license-target=/opt/fincad/core/lic By default all license files will be placed in "/opt/fincad/core/lic" license-target="" proxy credentials For Windows, Internet Explorer's settings are used automatically. proxy-server= proxy-port=8080 proxy-userid=john proxy-password=john product division Do not change this value unless it is directed by your service provider. product-division=toolkit platform where the tool is used platform=windows license option The following are the supported options: license-options=server for server side activation license-options=client for client side activation license-options=server FINCAD ANALYTICS SUITE 2016 FOR EXCEL Page 22 of 100 FinancialCAD Corporation

28 FINCAD Functions FINCAD Analytics Suite has functions covering a variety of asset classes and models. Types of FINCAD Functions There are two types of FINCAD functions: aa functions and fc functions, with fc functions being introduced in Analytics Suite Although the majority of the library currently contains functions beginning with aa, this will change over the next few releases as all new functions will begin with the prefix fc. As a result, many functions will be phased out over these releases and eventually become unsupported. fc versus aa functions In general the functions look very similar. However, there are some key differences. This section looks at the differences between the two styles of functions and highlights the advantages of the new style. The first section highlights the differences, and the second section provides more details on the benefits of fc functions. Highlights The differences between the two functions surround: Details Ability to use text strings in fc functions compared to numerical switches used in aa functions. Multiple input entry formats for fc functions o Actual dates, e.g. 6-Jul-2011 o 2d Fewer number of function calls required to get the necessary outputs Preconfigured functions increase accuracy by reducing errors and time required for setup Provide an easier transition to F3 as your needs change Text Strings Allowing for Easier Input In fc functions, you have the ability to enter inputs to the function in a natural language. For example, you can enter pay to indicate this is a pay fixed swap. This is in contrast to an aa function where you need to understand that an integer value of 2 needs to be passed into the function to correspond to a pay fixed-receive float swap. FINCAD ANALYTICS SUITE 2016 FOR EXCEL Page 23 of 100 FinancialCAD Corporation

29 Multiple Data Input Formats For convenience, the fc functions have been set up to allow you to enter dates in multiple formats, allowing for much quicker implementation. For example, if you have a swap maturing 3 years from the start date, you could enter 3y, or the actual maturity date. Fewer Function Calls The fc functions have been designed to provide you with as much information as possible using the fewest number of functions. This means that a typical fc function will output not only the fair value, accrued interest, etc., but it will also be able to output the cash flows and trade specific risk information such as basis point value (outputs depend on the trade type). In addition to the outputs, all of the labels describing the outputs will also update automatically. Preconfigured Functions When using aa functions, you are not only responsible for entering your own specific deal information, you are also responsible for entering market data conventions. In fc functions, many of the market data conventions have been pre-configured which reduces the likelihood that an error will be made in setup and therefore increases accuracy. For example, with a USD LIBOR-based swap, you need to know that the US market conventions have a 2 business day settlement for rate fixings and an accrual method of act/360 amongst other things. For fc functions, 10 jurisdictions have been already preconfigured, saving you time when setting up the deal: GBP: Pound Sterling USD: US Dollar JPY: Japanese Yen CHF: Swiss Franc CAD: Canadian Dollar AUD: Australian Dollar EUR: Euro FINCAD ANALYTICS SUITE 2016 FOR EXCEL Page 24 of 100 FinancialCAD Corporation

30 DKK: Danish Kroner SEK: Swedish Krona NZD: New Zealand Dollar In this example, you can type in LiborUSD3m and all the necessary conventions are already configured; alternatively you can supply a table that can be modified if you need extra flexibility for a jurisdiction that is not preconfigured. Holiday Calendars When using FINCAD aa functions, a function which generates the holiday lists is required. The generated holiday lists must then be input as a table into the pricing function. A change that FINCAD has made for the fc functions is to embed the holiday lists directly into the function. This means that you only need to type in the jurisdiction name and the holiday calendar will be generated and used internally within the function. FINCAD currently supports well over 300 calendars and the list can be expanded as needed. For users that still want to enter in their own calendars, this is still possible. The other major advantage is that all pre-configured conventions make use of the appropriate holiday convention without having to specifically provide the holiday calendar. Interest Rate Curves The term accruing curve is used in aa functions to mean the curve used to derive the forward rates. The accruing curve that is required takes the form of date and discount factor, which may raise questions about how the accruing and discounting curves were different. In fc functions, this confusion is gone. You can now enter in a forward rate curve which is a list of dates and rates. The fc FINCAD ANALYTICS SUITE 2016 FOR EXCEL Page 25 of 100 FinancialCAD Corporation

31 functions are able to read the implied rate directly off the table or imply the rate given the data. You can also enter in a discount curve which is used for all discounting. Easier Transition FINCAD product lines are transitioning to a common underlying analytics library. What this new technology means for you is that: FINCAD is using a redesigned, consistent, pricing engine in which the model is implemented completely independent of the specific instrument, which leads to greater maintainability and built-in consistency It allows much quicker development of new functionality The new pricing engine incorporates the accumulated knowledge and ever-expanding knowhow of experienced FINCAD staff As your portfolio grows larger and more complex, the transition to the F3 product line is much easier and the valuation outputs will be the same FINCAD Jargon Naming Conventions FINCAD function names are made up of three parts: a Prefix, a Root Word, and a Suffix. aabond_p Prefix Root Word Suffix Prefix Function names begin with the prefix aa or fc to be easily recognizable as a FINCAD function. 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 EuropeanOptionBlack: A European FX Option in the Black model Suffixes Suffixes describe the kind of calculated result to expect from the function, or provide a hint about the context of use. FINCAD ANALYTICS SUITE 2016 FOR EXCEL Page 26 of 100 FinancialCAD Corporation

32 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. Note: fc functions do not contain suffixes. An fc function outputs all relevant statistics when it is calculated. FINCAD ANALYTICS SUITE 2016 FOR EXCEL Page 27 of 100 FinancialCAD Corporation

33 FINCAD Analytics Suite 2016 for Excel Ribbon Overview The FINCAD ribbon is between the Insert and Page Layout ribbons. FINCAD ribbon in 32-bit version FINCAD ribbon in 64-bit version Note: Some of the following utilities are only available in ether the 32-bit or 64-bit version of FINCAD Analytics Suite 2016 for Excel. FINCAD Analytics Finder The FINCAD Analytics Finder is used to access a searchable database of functions, pre-built workbooks, and supporting documentation. This is only available in the 32-bit version. FINCAD Function Index The FINCAD Function Index is used to access a database of functions and supporting documentation. This is only available in the 64-bit version. Function Wizard The Function Wizard provides a user-friendly interface for working with FINCAD functions. This is only available in the 32-bit version. fc Function Macros The fc function macros provide a more convenient way to use fc functions. Function Error Handling Diagnose problems with function inputs quickly and easily. Workbooks Over 200 pre-built workbooks are available. Documentation Access comprehensive documentation, including what is new in the current version of the product and release notes. Support Resources 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 2016 for Excel to another computer. FINCAD ANALYTICS SUITE 2016 FOR EXCEL Page 28 of 100 FinancialCAD Corporation

34 FINCAD Analytics Finder The FINCAD Analytics Finder is the control center for FINCAD Analytics Suite 2016 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. Note: FINCAD Analytics Finder is only available in the 32-bit version of FINCAD Analytics Suite 2016 for Excel. Click Analytics Finder on the FINCAD ribbon. 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 2016 FOR EXCEL Page 29 of 100 FinancialCAD Corporation

35 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 your needs. Functions themselves 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, Functions, Workbooks (User or Bloomberg Finance LP enabled), or Math References you want to see. Example You want to create a cash flow table for a simple fixed/floating swap using one currency only and two curves (accruing and discounting). 1. Open FINCAD Analytics Suite 2016 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, eleven 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, aaswap2_p, fcvanillairswap, and fcvanillairswapfixingdates. 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 2016 FOR EXCEL Page 30 of 100 FinancialCAD Corporation

36 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 2016 FOR EXCEL Page 31 of 100 FinancialCAD Corporation

37 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 and workbooks related to the Black model, type black in the search box and click Search. The related functions and workbooks are listed in the function window; an icon is displayed beside each file type. For example: Function Workbook aavol_crv_rcap_bl Calibration Auto (BK &HW using Swaptions) The Search tab also contains a Search Options button which lets you refine 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 Finance LP data sources, or Math reference documents. FINCAD ANALYTICS SUITE 2016 FOR EXCEL Page 32 of 100 FinancialCAD Corporation

38 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 2016 FOR EXCEL Page 33 of 100 FinancialCAD Corporation

39 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 2016 FOR EXCEL Page 34 of 100 FinancialCAD Corporation

40 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: You cannot paste a function example using an fc function. The Paste Example Options described below are not available in this case. An fc function example will open in a new workbook. You can then copy and paste the new workbook into your own spreadsheet. 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 examples, 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). FINCAD ANALYTICS SUITE 2016 FOR EXCEL Page 35 of 100 FinancialCAD Corporation

41 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 2016 FOR EXCEL Page 36 of 100 FinancialCAD Corporation

42 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 cash flow, 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 2016 FOR EXCEL Page 37 of 100 FinancialCAD Corporation

43 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 Calculation Options under Formulas. FINCAD ANALYTICS SUITE 2016 FOR EXCEL Page 38 of 100 FinancialCAD Corporation

44 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 2016 for Excel Function Wizard is the recommended way to edit a function call. To edit a function 3. Before starting the Function Wizard, click the cell where the pasted function is located. Select FINCAD Wizard under the FINCAD ribbon. FINCAD ANALYTICS SUITE 2016 FOR EXCEL Page 39 of 100 FinancialCAD Corporation

45 4. 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 2016 FOR EXCEL Page 40 of 100 FinancialCAD Corporation

46 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 2016 FOR EXCEL Page 41 of 100 FinancialCAD Corporation

47 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 2016 FOR EXCEL Page 42 of 100 FinancialCAD Corporation

48 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 aaswap2_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 2016 FOR EXCEL Page 43 of 100 FinancialCAD Corporation

49 Function Reference Click the Function Reference tab to display the Function Reference page for the selected function. This tab displays 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 2016 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 2016 FOR EXCEL Page 44 of 100 FinancialCAD Corporation

50 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 All, Only Functions, or Only Workbooks. Also using the Browse for button, you can select to show additional analytics available for licensing, replaced (deprecated) functions, and unsupported analytics. Deprecated functions are those functions that are currently replaced by newer aa or fc functions. These functions are still supported by FINCAD. However, it is recommended that the newer functions be used instead. Unsupported functions are still available in the product, but are not supported by FINCAD. You can identify these functions by the color red. It is recommended that these functions not be used and to therefore leave this option unchecked. FINCAD ANALYTICS SUITE 2016 FOR EXCEL Page 45 of 100 FinancialCAD Corporation

51 Function Index The FINCAD Analytics Suite 2016 for Excel Function Index is a listing that gives you access to all the library functions in an organized manner, along with links to the respective function and math references, and a link to open a function example in Excel. Note: FINCAD Function Index is only available in the 64-bit version of FINCAD Analytics Suite 2016 for Excel. Click Function Index on the FINCAD ribbon to open the Function Index in a web browser. Browsing for Functions Upon loading for the first time, the Function Index will display the Functions By Category view. This view is divided into two panels. The left panel displays a hierarchical navigation tree which allows for precise navigation of the categories. The top level consists of groups of asset classes, utilities and risk measures. The next level deep displays groups by instrument type, and the third level deep groups functions by model type. The functions themselves can be found in the fourth level of the hierarchy. You can navigate through the tree layout to pinpoint the exact function for your needs. This hierarchical structure is similar to that found in the Analytics Finder (available in the 32-bit version of FINCAD Analytics Suite 2016 for Excel). Once you select a top-level category from the left, the right panel will populate with functions from the underlying subcategories. To view more information about any particular function, click on its name in the navigation panel to display further details about the function in the right hand panel. Here you will find a description of FINCAD ANALYTICS SUITE 2016 FOR EXCEL Page 46 of 100 FinancialCAD Corporation

52 the function, as well as immediate links to the corresponding Function Reference, Math Reference, and a link to open an example for Excel. Clicking on Function Reference for any function will take you directly to the full function reference listing, and similarly clicking Math Reference for any function will open the full math reference. The Function Index has several different viewing options for you to choose between depending on your needs. Hovering over the Functions button on the top menu bar will present a drop-down menu with two options for sorting functions: By Category and By Name. The default view is By Category, and is what you will see when you load the Function Index for the first time. This view organizes the functions in the hierarchical structure described above, for ease of navigation. Next is By Name. This view sorts all of the functions alphabetically (along with their corresponding Function Reference, Math Reference, and Open Example Buttons), and provides a convenient alphabetical index at the top of the page allowing you to find the function you are looking for quickly. While browsing through the list, you can also hit the Back to Top button in the lower right hand corner to jump back to the top of the index. FINCAD ANALYTICS SUITE 2016 FOR EXCEL Page 47 of 100 FinancialCAD Corporation

53 Beside the Functions menu on the top bar is the Math References option. Since many of the functions share the same math reference pages, the Function Index provides this view to give you quick access to all math reference documents sorted by category. Some will appear more than once as they are relevant to more than one category. After clicking the Math References button, simply select a category from the list to get started browsing math reference documents. FINCAD ANALYTICS SUITE 2016 FOR EXCEL Page 48 of 100 FinancialCAD Corporation

54 Opening an Example The Open Example button opens a sample of the selected function for you to view and edit in a new excel spreadsheet. You can find the button for each individual function next to the Function Reference and Math Reference buttons under the function description. 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 come 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 examples, white cells are input cells and yellow cells are output cells. FINCAD ANALYTICS SUITE 2016 FOR EXCEL Page 49 of 100 FinancialCAD Corporation

55 Function Wizard The FINCAD Analytics Suite 2016 for Excel Function Wizard is a user-friendly interface for working with FINCAD functions. Note: Function Wizard is only available in the 32-bit version of FINCAD Analytics Suite 2016 for Excel. In the 64-bit version, you can use the Insert Function dialog box accessible through the fx button beside the Formula Bar. To open the Function Wizard, select a cell that contains a function (i.e. an output cell), and then do either of the following: Click the Function Wizard button on the FINCAD ribbon, next to the Analytics Finder. Right-click the output cell and select Function Wizard on the shortcut menu. FINCAD ANALYTICS SUITE 2016 FOR EXCEL Page 50 of 100 FinancialCAD Corporation

56 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 2016 FOR EXCEL Page 51 of 100 FinancialCAD Corporation

57 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 Provides bubble help for switch inputs 5 Provides links to the Math and Function Reference FINCAD ANALYTICS SUITE 2016 FOR EXCEL Page 52 of 100 FinancialCAD Corporation

58 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 2016 FOR EXCEL Page 53 of 100 FinancialCAD Corporation

59 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 the message The selected range does not contain a call to a FINCAD function. Do you want to launch the Analytics Finder? Pressing Yes will open the FINCAD Analytics Finder, while pressing No will close the message box. FINCAD ANALYTICS SUITE 2016 FOR EXCEL Page 54 of 100 FinancialCAD Corporation

60 fc Function Macros fc function macros help speed up the use of the fc functions used within Microsoft Excel. The macros are located under Function Utilities on the FINCAD ribbon, categorized as fc Function Macros. There are three types of macros: Insert fc Function: After you have entered the name of an fc function into a cell, running this macro will create a sample of the selected function with argument names provided. This macro inserts the resulting function call for the fc function name contained in the current cell. 1. Enter the name of an fc function in a cell. 2. Click Insert fc Function on the FINCAD ribbon under fc Function Macros to run the macro. Set Output Formatting: This macro adds conditional formatting to the selected cells that hides errors, #NA, and empty cells. 1. Select the cells and run the macro. Set fc Type: This macro creates a drop-down menu of fc object names available for the selected fc object type. The Set fc Type dialog box lists the names of each fc object type on the left side and shows a description of each type on the right side. 1. Select the cell that you want to convert into a drop-down box. 2. Click Set fc Type under fc Function Macros to run the macro. 3. Select the necessary fc type and click the Set fc Type button on the bottom right corner of the box. This creates a drop-down menu in the selected cell with the object names available in the repository for the selected object type. Dialog box of fc types Drop down menu of selected fc type, this example uses Bootstrap settings. FINCAD ANALYTICS SUITE 2016 FOR EXCEL Page 55 of 100 FinancialCAD Corporation

61 Workbooks FINCAD Analytics Suite 2016 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 2016 for Excel functions, advanced Excel functionality, and formatting. There are three menu subsections for FINCAD Workbooks: Workbooks Curve Settings Workbooks Workbook Utilities Workbooks Curve Settings You can choose to define which swap curve to use with your workbooks by selecting User Data or Bloomberg Finance LP 1 Data. These curves apply only to workbooks in the Workbook menu that use a swap curve in their valuations. Use the Bloomberg Finance LP to provide the specified realtime and historical data to the workbooks. Note: You will need to subscribe to Bloomberg Finance LP to retrieve the data. Each Bloomberg Finance LP 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. 1 Bloomberg is a trademark of Bloomberg Finance LP. FINCAD is not associated in any way with Bloomberg Finance LP. FINCAD ANALYTICS SUITE 2016 FOR EXCEL Page 56 of 100 FinancialCAD Corporation

62 Workbooks You can access all workbooks through the FINCAD ribbon. 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 2016 FOR EXCEL Page 57 of 100 FinancialCAD Corporation

63 Workbooks Bloomberg Finance LP Data Specific As mentioned above, all workbooks are available with a Bloomberg Finance LP enabled swap curve. Bloomberg Finance LP specific workbooks contain additional links to Bloomberg Finance LP. Examples of additional data are swaption volatilities and CDS spreads. To access a Bloomberg Finance LP Enabled Workbook 1. Under the FINCAD ribbon, select Workbooks, then Bloomberg Finance LP Data Specific. 2. Choose one of the workbooks displayed on the menu, for example Bond Portfolio. FINCAD ANALYTICS SUITE 2016 FOR EXCEL Page 58 of 100 FinancialCAD Corporation

64 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. 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 zero coupon swap workbook, accessible from the FINCAD ribbon. Under Workbooks, select Swaps Libor Discounting, and click Zero Coupon Swap. We have chosen to use User 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 cells 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 2016 FOR EXCEL Page 59 of 100 FinancialCAD Corporation

65 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 an interpolation method. Edit the succeeding fields as appropriate. 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. 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. Click Formulas > Name Manager. FINCAD ANALYTICS SUITE 2016 FOR EXCEL Page 60 of 100 FinancialCAD Corporation

66 4. Select the named range (df_curve in our example). The Refers to text box will be populated with the sheet name and the cell addresses of the named range. 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 2016 FOR EXCEL Page 61 of 100 FinancialCAD Corporation

67 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. 1. Select a jurisdiction. 2. Click Calculate Sheet. FINCAD ANALYTICS SUITE 2016 FOR EXCEL Page 62 of 100 FinancialCAD Corporation

68 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 2016 FOR EXCEL Page 63 of 100 FinancialCAD Corporation

69 Workbook Utilities FINCAD includes several tools to help you customize your workbooks easily. Note: Workbook Utilities is only available in the 32-bit version of FINCAD Analytics Suite 2016 for Excel. 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 into 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 2016 FOR EXCEL Page 64 of 100 FinancialCAD Corporation

70 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 ribbon under Documentation > Definitions. 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 2016 FOR EXCEL Page 65 of 100 FinancialCAD Corporation

71 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 ribbon, under Workbooks > 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 2016 FOR EXCEL Page 66 of 100 FinancialCAD Corporation

72 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 ribbon, 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 2016 for Excel function aaswitch, e.g. aaswitch(2, B11). FINCAD ANALYTICS SUITE 2016 FOR EXCEL Page 67 of 100 FinancialCAD Corporation

73 Remove Formatting This utility feature removes all background colors, borders, and switches 1. Select an area of a workbook. 2. Under the FINCAD ribbon, select Workbook Utilities, then click Remove Formatting. All formatting is removed. FINCAD ANALYTICS SUITE 2016 FOR EXCEL Page 68 of 100 FinancialCAD Corporation

74 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 range 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 2016 FOR EXCEL Page 69 of 100 FinancialCAD Corporation

75 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 ribbon, 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 output 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. FINCAD ANALYTICS SUITE 2016 FOR EXCEL Page 70 of 100 FinancialCAD Corporation

76 The output table is displayed starting from A25 and the graph is displayed to the right of the output table. FINCAD ANALYTICS SUITE 2016 FOR EXCEL Page 71 of 100 FinancialCAD Corporation

77 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 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 ribbon, click Workbook Utilities, then Generate Cashflow Report, or rightclick in the sheet and choose Cashflow Report. The Cashflow Report dialog box is displayed. FINCAD ANALYTICS SUITE 2016 FOR EXCEL Page 72 of 100 FinancialCAD Corporation

78 4. Select: 5. 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. 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 2016 FOR EXCEL Page 73 of 100 FinancialCAD Corporation

79 Documentation You can access this user guide as well as other valuable documents such as What s New through Documentation under the FINCAD ribbon. FINCAD ANALYTICS SUITE 2016 FOR EXCEL Page 74 of 100 FinancialCAD Corporation

80 Feedback FINCAD welcomes and encourages feedback from you. Click Provide Feedback on the FINCAD ribbon to contact FINCAD with your questions and feedback. Support Resources Click Support Resources to choose a link to our FINCAD Support Center where you can access various help documentation such as Math and Function References, Frequently Asked Questions, Newsletter Articles, and Function Release Notes among others. You can also send us your questions and feedback about the product. FINCAD ANALYTICS SUITE 2016 FOR EXCEL Page 75 of 100 FinancialCAD Corporation

81 Function Error Handling The Function Utilities menu in the FINCAD ribbon 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 is set to enabled. 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 2016 FOR EXCEL Page 76 of 100 FinancialCAD Corporation

82 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. Note: The Validate Inputs feature is only available in the 32-bit version of FINCAD Analytics Suite 2016 for Excel. To use the validate inputs feature 2. Go to the cell with the function, i.e., the highlighted yellow cell on a pasted function 3. Select Validate Inputs under Error Handling in the FINCAD ribbon. 7. You can also right click on the mouse after selecting a cell with the function and select Validate Inputs. FINCAD ANALYTICS SUITE 2016 FOR EXCEL Page 77 of 100 FinancialCAD Corporation

83 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. FINCAD ANALYTICS SUITE 2016 FOR EXCEL Page 78 of 100 FinancialCAD Corporation

84 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 2016 FOR EXCEL Page 79 of 100 FinancialCAD Corporation

85 Check for Updates Periodically, FINCAD releases new versions and maintenance versions of its software. Select Check for Updates under the FINCAD ribbon to check whether the FINCAD Analytics Suite 2016 for Excel version you are using is the latest one. About Select About under the FINCAD ribbon to open a window that provides information on the FINCAD Analytics Suite for Excel version that you are using and the status of your license. You can also access the License Manager and the License Agreement, and contact FINCAD from this window. FINCAD ANALYTICS SUITE 2016 FOR EXCEL Page 80 of 100 FinancialCAD Corporation

86 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 2016 for Excel: Calculating Arrays Using Named Ranges Using Absolute and Relative Cell References Goal Seek Excel Function Wizard FINCAD ANALYTICS SUITE 2016 FOR EXCEL Page 81 of 100 FinancialCAD Corporation

87 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 2016 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. Note: This feature does not apply to FINCAD fc function types. FINCAD ANALYTICS SUITE 2016 FOR EXCEL Page 82 of 100 FinancialCAD Corporation

88 Once you select All statistics, you can paste an example. The function displays all the statistics output by the function. FINCAD ANALYTICS SUITE 2016 FOR EXCEL Page 83 of 100 FinancialCAD Corporation

89 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 2016 FOR EXCEL Page 84 of 100 FinancialCAD Corporation

90 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 2016 FOR EXCEL Page 85 of 100 FinancialCAD Corporation

91 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 2016 FOR EXCEL Page 86 of 100 FinancialCAD Corporation

92 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 2016 FOR EXCEL Page 87 of 100 FinancialCAD Corporation

93 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 2016 FOR EXCEL Page 88 of 100 FinancialCAD Corporation

94 To extend cash flow tables using arrays In FINCAD Analytics Suite 2016 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 2016 FOR EXCEL Page 89 of 100 FinancialCAD Corporation

95 2. Click anywhere on the formula bar and press CTRL+SHIFT+ENTER at the same time. The table is now extended. FINCAD ANALYTICS SUITE 2016 FOR EXCEL Page 90 of 100 FinancialCAD Corporation

96 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 2016 FOR EXCEL Page 91 of 100 FinancialCAD Corporation

97 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 2016 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 2016 FOR EXCEL Page 92 of 100 FinancialCAD Corporation

98 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 2016 FOR EXCEL Page 93 of 100 FinancialCAD Corporation

99 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 2016 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 Formulas ribbon in Excel, select Name Manager, then Edit. 2. In the Name box, type in the name you want to assign (for example holidays ). 3. In the Refers to box, type in the formula: =OFFSET($A$1,0,0,COUNTA($A:$A),1). 4. Click OK, and Close. FINCAD ANALYTICS SUITE 2016 FOR EXCEL Page 94 of 100 FinancialCAD Corporation

100 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 COUNTA to count the number of cells that contain values in the range $A:$A. The syntax of this function is COUNTA(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. 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 2016 FOR EXCEL Page 95 of 100 FinancialCAD Corporation

101 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 2016 FOR EXCEL Page 96 of 100 FinancialCAD Corporation

102 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 specific cell address absolute, and leaving the rest as relative. FINCAD ANALYTICS SUITE 2016 FOR EXCEL Page 97 of 100 FinancialCAD Corporation

103 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. Go to Data > What-If Analysis > 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 2016 FOR EXCEL Page 98 of 100 FinancialCAD Corporation

104 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 2016 FOR EXCEL Page 99 of 100 FinancialCAD Corporation

105 Excel Function Wizard The Excel function wizard can be used as an alternative to the FINCAD Function Wizard. To open the Excel wizard, click on the cell that contains the formula, then 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 2016 FOR EXCEL Page 100 of 100 FinancialCAD Corporation