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Interpolation of LIBOR rate
Hi guys,
I want to learn how to do interpolation calculationg using Excel. Interpolation start date is 3/16/06 Interpolation end date is 6/15/06 2M Libor rate at 05/16/06 is 4.82625 3M Libor rate at 06/16/06 is 4.91688 I need to find out LIBOR rate at 6/15/06 (The rate that I received from the counterparty is 4.91396) |
#2
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Interpolation of LIBOR rate
General process: Determine the number of periods (days). In this case it's 31.
Determine total change between start rate and end rate (.09063). Determine average change per period: .09063/31 that gives you an average change per period of .002924 You want the rate at the 30th day beyond the early date, so ..002924 * 30 = .087706 change in those 30 days add that back to the original base value: 4.82625+.087706 = 4.913956 Now, in Excel: Cell Value/Formula A1 5/16/06 A2 6/16/06 A3 6/15/06 A2 4.82625 B2 4.91688 in any other cell =(((B2-A2)/(B1-A1))*(C1-A1))+A2 gives you the answer. "Lawrence" wrote: Hi guys, I want to learn how to do interpolation calculationg using Excel. Interpolation start date is 3/16/06 Interpolation end date is 6/15/06 2M Libor rate at 05/16/06 is 4.82625 3M Libor rate at 06/16/06 is 4.91688 I need to find out LIBOR rate at 6/15/06 (The rate that I received from the counterparty is 4.91396) |
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