SDX Interest Rates Help > Working with SDX Interest Rates > Adding SD Functionality into Excel

Adding SD Functionality into Excel

SD users often have existing Excel spreadsheets which they use for deal analysis and for ease of integration with third-party systems.

Using SD’s Excel add-in, a program that adds custom functionality to an Excel spreadsheet, you can also easily integrate SD functionality into any Excel spreadsheet. This lets you continue using your existing Excel spreadsheets while benefitting from SD’s expertise.

SD’s Excel add-in gives you access to the following SDX Interest Rates functionality in your own Excel spreadsheets:

Pricing supported instruments in your Excel spreadsheet using the SD pricing model.

You can currently price the following instruments—cap/floor, vanilla swap, CMS swap, swaption and zero coupon swap.

 
For a vanilla swap and a zero coupon swap, you can activate the compounding functionality for the floating leg. You activate compounding by using the optional "Fixing Freq." column, where you should enter a frequency that is greater than the payment frequency in the "Frequency" column. In this situation, the system assumes that there is compounding of the floating leg. In addition, you can also put the value "z" in the Frequency column to indicate that there is only one payment for this leg, at maturity. However, if you do this, you must also manually enter a frequency in the Fixing Freq. column (as that column does not support "z").
For a zero coupon swap the results are displayed as a % of the starting notional.
When you price a supported instrument using the SD pricing model in an Excel spreadsheet, SD uses the default collateralization method set for its currency (this is set in the Customization window | Default Settings | Currency tab using the Collateralization radio buttons). So if, for example, your Excel spreadsheet contains instruments on USD and on NOK, for the instruments on USD SD will use the default collateralization method set for USD in the active profile, and for the instruments on NOK it will use the default collateralization method set for NOK in the active profile.
This means that pricing instruments in SD-Excel supports the cash collateralization method or (if you choose to not collateralize the trade) LIBOR discounting on either the trade currency's default yield curve or any of the other LIBOR indexes available for that currency. For more information on the different collateralization methods, see Using Collateralization .

Importing the yield curve data from the pricer into your Excel spreadsheet for use in pricing supported instruments.

Business date verification

To any cell that contains a date you can add a function that will ensure that the date used is a valid business date. This function is called SDIRGetBusinessDay.

When applied to a cell, during the calculation process it verifies that the date is a valid business date. If it is not a valid business date, the system changes the date to the nearest valid business date using the business day settings taken from SDX Interest Rates.

 
The requests are sent over HTTP in a process that is authenticated using your SD username and password.
When using SD’s Excel add-in to price an instrument for a historical date or to import the yield curve for a historical date, SD uses the market data saved on that date at the end of day cut-off time defined for the relevant currency in the active profile in the pricing application.
You set the end of day cut off time for a currency for a profile in the Settings window > Default Settings tab > Currency tab using the End of Day Cut Off Time dropdown list.
Although you can combine SD functionality from both SDX Foreign Exchange and SDX Interest Rates in a single Excel spreadsheet, you must first install a separate Excel add-in for each of these SD pricers and then configure your Excel spreadsheet to use both these Excel add-ins. Once you have done this you can work in a single Excel spreadsheet with structures and market data from across the different asset classes.

To use the SD functionality into your Excel spreadsheet you must:

1. Check the system requirements for using SD’s Excel add-in in your Excel spreadsheet.
2. Download the SD Excel add-in for each pricer.
3. Install SD’s Excel add-in into the Excel application.
4. If necessary, import the yield curve data into your Excel spreadsheet.
This topic will be available shortly.
5. Insert the relevant IR functions for each instrument you want to price using the SD pricing models.
This topic will be available shortly.
6. Activate the Calculate function (which executes the IR pricing functions) or the Get Yield Curve function as necessary.

See the Executing IR Functions In An Excel Spreadsheet topic, which will be available shortly.

To see a working example of an Excel spreadsheet with SDX Interest Rates functionality already embedded in it, access SD’s sample Excel spreadsheet. It is located in the pricer in the Home tab > SDExcel button > Download SD's sample Excel spreadsheet button.