Yield Book Add-In

The Yield Book Add-In delivers the power of Yield Book’s fixed income analytics directly inside the Microsoft Excel® spreadsheet environment. Users can customise templates to perform complex calculations at the security, sector and portfolio-level.

Request details

(optional)

Overview
Features & benefits

Request details

Ease of use

Yield Book Add-In inserts an intuitive drop-down menu inside Excel. The system uses an internet connection to interact with Yield Book’s comprehensive database and powerful calculation engine, allowing users to calculate analytics directly inside their spreadsheets.

Download fact sheet

207.2KB • PDF

Features & Benefits

Yield Book power, spreadsheet flexibility

Yield Book analytics in your spreadsheets

Calculate a vast array of analytics, including oas, durations and returns. Yield Book add-in accesses the same security and calculation servers as Yield Book, giving you numbers you trust in an easy to analyse format. Analytical assumptions, such as curve type and date, prepayment models and volatility models are defined directly within Yield Book add-in's functions.

Yield Book Add-In offers access to Yield Book's analytics libraries and fast calculation servers, allowing you to quickly calculate multi-path dependent measures like OAS and effective duration.

Nominal analytics:

Price / Yield
Spread
Duration
Convexity
WAL
DV01
Total Return

Option model measures:

OAS
Spread
Effective duration
Effective convexity
Effective WAL
Effective DV01
Partial / Key rate durations
Volatility & Prepay duration

Yield Book Add-In offers access to nearly two million securities from Yield Book databases. Additionally, users have the ability to define and manage their own securities.

Government bonds
Agencies
Global corporates
Global high-yield
Emerging market debt
Brady bonds
Mortgage pools
ARMs
CMO
ABS

CMBS
Municipals
Build America bonds
Futures
Options on futures
Swap / Swaptions
Caps / Floors
Structured notes
CDS

Yield Book Add-In's user-friendly drop-down menu is organised by analysis type.

Indicative data
Historical data
Time series analysis
Price / Yield

Scenario analysis
Scenario cash flow
Projected cash flow analysis
Return attribution

Yield Book time series graph *

Historical data graphing

Access individual security, index and other historical time series data. All historical data sets are stored in single cells, which allows for dynamic graphing capabilities while keeping spreadsheets clean. An integrated statistics package builds on historical data functionality, allowing for easy analysis.

Portfolio analysis system

Create a portfolio by simply referencing a list of securities and par amounts. Users can input their own data, including prices. Portfolio-level calculations include scenario ror, cash flow projections, risk metrics, return attribution and other measures. Further refine results by sector analysis, using either Yield Book or user-defined keywords.

Yield Book Add-In customized user inputs — Curves *

Customised user inputs

Provide your own data, including user bonds, curves, volatility surfaces, scenarios, partial durations and prepayment model dials to customise analysis

* Screenshots are sourced from Yield Book. For illustrative purposes only.